DocumentCode :
3851046
Title :
Multifactor Models
Author :
Emmanuelle Jay;Patrick Duvaut;Serge Darolles;Arnaud Chrétien
Author_Institution :
Received the master'
Volume :
28
Issue :
5
fYear :
2011
Firstpage :
37
Lastpage :
48
Abstract :
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 procedures than classical techniques.
Keywords :
"Portfolios","Financial management","Covariance matrix","Investments","Sensitivity","Pricing"
Journal_Title :
IEEE Signal Processing Magazine
Publisher :
ieee
ISSN :
1053-5888
Type :
jour
DOI :
10.1109/MSP.2011.941550
Filename :
5999577
Link To Document :
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