• 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
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3851046