Factor Models and General Definition
Darolles, Serge; Duvaut, Patrick; Jay, Emmanuelle (2013), Factor Models and General Definition, in Darolles, Serge; Duvaut, Patrick; Jay, Emmanuelle, Multi-factor models and signal processing techniques: application to quantitative finance, ISTE ; J. Wiley : London ; Hoboken, NJ, p. 1–21. 10.1002/9781118577387.ch1
Book titleMulti-factor models and signal processing techniques: application to quantitative finance
Book authorDarolles, Serge; Duvaut, Patrick; Jay, Emmanuelle
Number of pages184
MetadataShow full item record
Abstract (EN)This chapter introduces the common version of linear factor models and also discusses its limits and developments. It introduces different notations and discusses the model and its structure. The chapter lists out the reasons why factor models are generally used in finance, and further explains the limits of this approach. It also deals with the different steps in the building of factor models, i.e. factor selection and parameter estimation. Finally, the chapter gives a historical perspective on the use of factor models such as capital asset pricing model (CAPM), Sharpe's market model and arbitrage pricing theory (APT) in finance.
Subjects / Keywordsarbitrage pricing theory (APT); capital asset pricing model (CAPM); factor models; Finance; Sharpe's market model
Showing items related by title and author.
lq-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Gouriéroux, Christian (2011) Communication / Conférence