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Multifactor Models : Examining the potential of signal processing techniques

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Date
2011
Dewey
Organisation et finances d'entreprise
Sujet
Multifactor Models; signal processing techniques; Hedge funds
JEL code
G24; G12; G14
Journal issue
IEEE Signal Processing Magazine
Volume
28
Number
5
Publication date
2011
Article pages
37-48
Publisher
Institute of Electrical & Electronics Engineers
DOI
http://dx.doi.org/10.1109/MSP.2011.941550
URI
https://basepub.dauphine.fr/handle/123456789/9106
Collections
  • DRM : Publications
Metadata
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Author
Jay, Emmanuelle
Duvaut, Patrick
Darolles, Serge
Chretien, Arnaud
Type
Article accepté pour publication ou publié
Abstract (EN)
This article surveys the existing literature on the most widely used factor models employed in the realm of a financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this article demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedure than classical techniques.

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