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Factor Models and General Definition

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Date
2013
Dewey
Economie financière
Sujet
arbitrage pricing theory (APT); capital asset pricing model (CAPM); factor models; Finance; Sharpe's market model
JEL code
C.C3.C30; G.G1.G11; G.G1.G12
DOI
http://dx.doi.org/10.1002/9781118577387.ch1
Book title
Multi-factor models and signal processing techniques: application to quantitative finance
Author
Darolles, Serge; Duvaut, Patrick; Jay, Emmanuelle
Publisher
ISTE ; J. Wiley
Publisher city
London ; Hoboken, NJ
Year
2013
Pages number
184
ISBN
978-1-84821-419-4
Book URL
http://dx.doi.org/10.1002/9781118577387
URI
https://basepub.dauphine.fr/handle/123456789/13493
Collections
  • DRM : Publications
Metadata
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Author
Darolles, Serge
1032 Dauphine Recherches en Management [DRM]
Duvaut, Patrick
Jay, Emmanuelle
Type
Chapitre d'ouvrage
Item number of pages
1–21
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.

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