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Greg Anderson

Research and Insights

Articles by Greg Anderson

    Barra's Real Yield Model

    Research Report | Mar 27, 2004 | Greg Anderson

    Forecasting Total Risk

    Research Report | Jan 1, 2003 | Greg Anderson, Lisa Goldberg, Alec Kercheval, Guy Miller

    A global model that forecasts risk for portfolios with holdings across several markets will typically disagree with the predictions of a model specifically adapted to a single market. Given a global model and a collection of single market models, we describe an optimal, consistent way to embed the single market forecasts into the global model. The method involves framing the problem as an optimization over the ortogonal group O(n).