Factor Models

Gregory Connor; Robert A Korajczyk

doi:10.1002/9780470061602.eqf19003

Factor Models

Gregory Connor, Robert A Korajczyk

Finance

Research output: Chapter in Book/Report/Conference proceeding › Entry for encyclopedia/dictionary

Abstract

Factor models of security returns decompose the random return on each of a cross-section of assets into pervasive components, affecting almost all assets, and a diversifiable component. We describe four alternative approaches to factor modeling of asset returns. We also discuss issues related to estimating factor models and testing for the appropriate number of factors.

Original language	English (US)
Title of host publication	Encyclopedia of Quantitative Finance
Editors	Rama Cont
Publisher	John Wiley & Sons, Inc.
ISBN (Print)	978047057568
DOIs	https://doi.org/10.1002/9780470061602.eqf19003
State	Published - 2010

Access to Document

10.1002/9780470061602.eqf19003

http://onlinelibrary.wiley.com/doi/10.1002/9780470061602.eqf19003/pdf

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