Factor Selection

Abstract : This chapter focuses on the empirical ad hoc approach and presents three reference models that are widely used in the literature. These models are all based on the factor representation, but highlight the nature of the factors to be used to explain specific asset class returns. In a section, the authors denote by eigenfactors the factors obtained from the observations using the eigenvector decomposition of the covariance matrix of the returns. The chapter describes some classical techniques, arising from the information theory. It provides complementary sections which provide some light on related problems to this approach such as the estimation of the covariance matrix of the data, the similarity of the approach with subspace methods and the extension of this approach to large panel data.
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Chapitre d'ouvrage
Multi-factor models and signal processing techniques: application to quantitative finance, pp.23-58, 2013, 〈10.1002/9781118577387.ch2〉
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https://hal.archives-ouvertes.fr/hal-01632873
Contributeur : Christine Okret-Manville <>
Soumis le : vendredi 10 novembre 2017 - 16:38:33
Dernière modification le : samedi 11 novembre 2017 - 01:14:46

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Serge Darolles, Patrick Duvaut, Emmanuelle Jay. Factor Selection. Multi-factor models and signal processing techniques: application to quantitative finance, pp.23-58, 2013, 〈10.1002/9781118577387.ch2〉. 〈hal-01632873〉

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