Episode 338 - Peter Mladina: Factor Betas and ICAPM in Practice
The Rational Reminder Podcast
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Understanding Investment Risk and Factor Models
This chapter explores asset-only and goal-relative risks, highlighting the importance of tracking error and the economic rationale behind factor models in explaining returns. The conversation examines the role of common risk factors in portfolio construction, the limitations of traditional models like CAPM, and the implications of recent findings for asset allocation strategies. Additionally, it analyzes the performance of real estate investments through a factor lens, emphasizing the relationship between factors, systematic risks, and investment strategies.
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