Add comprehensive LaTeX documentation for equity risk model #1
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Document includes: - Complete mathematical framework for multi-factor risk models - Detailed explanation of Size, Value, and Momentum factor construction - Cross-sectional regression methodology (Fama-MacBeth approach) - Risk decomposition framework (factor vs specific risk) - Marginal contribution to risk, CTR, and percent CTR derivations - Justification for all modeling choices (factor selection, normalization, estimation windows, annualization, diagonal specific risk matrix) - Mathematical appendix with proofs and identities - Academic references
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The notebook covers: - Setup and data loading - Portfolio, benchmark, and active weight visualization - Factor exposures and covariance/correlation matrices - Portfolio-level risk measures (factor, specific, total) - Stock-level risk attribution (MCTR, CTR, PCTR) - Factor-level risk decomposition - Summary dashboard - Appendix with raw risk matrices and factor returns
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New Section 7 includes a complete 2-stock, 2-factor example demonstrating: - Factor risk matrix construction (BΩB') - Total risk matrix assembly - Portfolio risk calculation - Stock-level attribution (MCTR, CTR, PCTR) - Factor-level decomposition - Summary tables and key insights The example shows how the off-diagonal covariance between stocks is fully explained by common factor exposures, and demonstrates the Euler decomposition property.
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Document includes: