EDHEC-Risk Institute October 2016

Multi-Dimensional Risk and Performance Analysis for Equity Portfolios — October 2016

4. Conclusion

Finally, focusing on conditional multi factor models with time-varying risk exposures allows time-varying risk premia to be considered and introduces cyclical covariation terms between fundamental betas and the associated factor risk premia. This last issue could re-launch the discussion about the study of the cross-section of expected returns. We leave these questions for further research.

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An EDHEC-Risk Institute Publication