Factor Models and General Definition

Serge Darolles, Patrick Duvaut and Emmanuelle Jay

Post-Print from HAL

Abstract: This chapter introduces the common version of linear factor models and also discusses its limits and developments. It introduces different notations and discusses the model and its structure. The chapter lists out the reasons why factor models are generally used in finance, and further explains the limits of this approach. It also deals with the different steps in the building of factor models, i.e. factor selection and parameter estimation. Finally, the chapter gives a historical perspective on the use of factor models such as capital asset pricing model (CAPM), Sharpe's market model and arbitrage pricing theory (APT) in finance.

Keywords: arbitrage pricing theory (APT); capital asset pricing model (CAPM); factor models; Finance; Sharpe's market model (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Published in Multi-factor models and signal processing techniques: application to quantitative finance, pp.1-21, 2013, ⟨10.1002/9781118577387.ch1⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01632876

DOI: 10.1002/9781118577387.ch1

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().