compensation for risk (risk being loosely de ned as the possibility of losing a signi cant amount of the initial in-vestment). 0 In short, we need to run the above regression repeatedly for each period. In the late 1980s BARRA developed the Global Equity Model (GEM), designed to A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. Composed of articles published in today’s leading management publications-including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award-this comprehensive guide is filled with new. params.py -RegressionParams class is used for input parameters for a given run of a model.
