EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
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Interpretations of CSV<br />
• If we assume that a single factor model holds for<br />
stock returns,<br />
• We also make the assumptions (to be relaxed<br />
later) that<br />
– All betas are the same, it = t for all i<br />
– The residual variances are the same,<br />
• Then we can show that for any regular weighting<br />
scheme,
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