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dc.contributor.authorDarolles, Serge*
dc.contributor.authorDuvaut, Patrick*
dc.contributor.authorJay, Emmanuelle*
dc.date.accessioned2014-06-17T13:20:29Z
dc.date.available2014-06-17T13:20:29Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13493
dc.language.isoenen
dc.subjectarbitrage pricing theory (APT)en
dc.subjectcapital asset pricing model (CAPM)en
dc.subjectfactor modelsen
dc.subjectFinanceen
dc.subjectSharpe's market modelen
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C30en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12en
dc.titleFactor Models and General Definitionen
dc.typeChapitre d'ouvrage
dc.description.abstractenThis 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.en
dc.identifier.citationpages1–21en
dc.relation.ispartoftitleMulti-factor models and signal processing techniques: application to quantitative financeen
dc.relation.ispartofeditorDarolles, Serge
dc.relation.ispartofeditorDuvaut, Patrick
dc.relation.ispartofeditorJay, Emmanuelle
dc.relation.ispartofpublnameISTE ; J. Wileyen
dc.relation.ispartofpublcityLondon ; Hoboken, NJen
dc.relation.ispartofdate2013
dc.relation.ispartofpages184en
dc.relation.ispartofurlhttp://dx.doi.org/10.1002/9781118577387en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-1-84821-419-4en
dc.relation.forthcomingnonen
dc.identifier.doi10.1002/9781118577387.ch1en
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.person.labIds*
hal.person.labIds*
hal.identifierhal-01632876*


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