Factor Models

Gregory Connor, Robert A Korajczyk

Research output: Chapter in Book/Report/Conference proceedingEntry for encyclopedia/dictionary


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 languageEnglish (US)
Title of host publicationEncyclopedia of Quantitative Finance
EditorsRama Cont
PublisherJohn Wiley & Sons, Inc.
ISBN (Print)978047057568
StatePublished - 2010


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