Multifactor Models: Examining the potential of signal processing techniques
Résumé
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.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Multifactor Models: Examining the potential of signal processing techniques
|
Résumé |
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.
|
Auteur(s) |
Emmanuelle Jay
1
, Patrick Duvaut
2
, Serge Darolles
3
, Arnaud Chretien
4
1
QAMLab
( 186673 )
- France
2
ETIS - UMR 8051 -
Equipes Traitement de l'Information et Systèmes
( 1003474 )
- 6, avenue du Ponceau. F 95014 CERGY-PONTOISE CEDEX
- France
3
DRM-Finance
( 400413 )
- France
4
Aequam Capital
( 186674 )
- France
|
Comité de lecture |
Oui
|
Vulgarisation |
Non
|
Langue du document |
Anglais
|
Nom de la revue |
|
Date de production/écriture |
2011-09-01
|
Audience |
Internationale
|
Date de publication |
2011-09-01
|
Page/Identifiant |
37-48
|
Domaine(s) |
|
Mots-clés |
en
Multifactor Models, signal processing techniques, Hedge funds
|
DOI | 10.1109/MSP.2011.000000 |
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