Title :
Multifactor Models
Author :
Emmanuelle Jay;Patrick Duvaut;Serge Darolles;Arnaud Chrétien
Author_Institution :
Received the master'
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
DOI :
10.1109/MSP.2011.941550