Factor Models and General Definition

Abstract : 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.
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Chapitre d'ouvrage
Multi-factor models and signal processing techniques: application to quantitative finance, pp.1-21, 2013, 〈10.1002/9781118577387.ch1〉
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https://hal.archives-ouvertes.fr/hal-01632876
Contributeur : Christine Okret-Manville <>
Soumis le : vendredi 10 novembre 2017 - 16:40:07
Dernière modification le : samedi 11 novembre 2017 - 01:14:47

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Serge Darolles, Patrick Duvaut, Emmanuelle Jay. Factor Models and General Definition. Multi-factor models and signal processing techniques: application to quantitative finance, pp.1-21, 2013, 〈10.1002/9781118577387.ch1〉. 〈hal-01632876〉

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