Northfield Information Systems is one of the better providers of factor models and portfolio optimization systems, and their web site is a good source of information. The documentation for their "Everything Everywhere" risk model provides an especially comprehensive discussion of factor model design. It's a bit long (52 pages), so you might want to look at the web page that lists all of their product documentation and browse for yourself.
I've also added two lists of links, one to providers of factor model (a few of the many), and the other to discussions related to factor models (which are also called "risk models").
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