Knight John, Satchell Stephen. Linear Factor Models in Finance

Butterworth-Heinemann, 2005. — 299 p.Thisbookonlinearfactormodelsstartswithanintroductorychapterallowingreaders tofamiliarizethemselveswiththeacademicargumentsaboutsuchmodels. Chapters 2 to 7 constitute academic contributions while Chapters 8 to 13 are contributions from a number of leading quantitative practitioners.Both of us are delighted with the range of chapters especially from practitioners for whom the cost of contributing is rather high. The order of the chapters implies no ranking or favouritism and the contents of the chapters reflect the importance and central position that linear factor models hold in portfolio formation and risk management.