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FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?
FOCARDI, SERGIO M.; FABOZZI, FRANK J. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350020-1
In this paper, we analyze factor uniqueness in the S&P 500 universe. The current theory of approximate factor models … components. If this theory would apply to realistic markets such as the S&P 500 universe, the quest for proprietary factors would … Procrustes analysis and correlation analysis. Forecasting performance of the factor models is analyzed by forming active …
Persistent link: https://www.econbiz.de/10010883221
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684
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Shrinkage=factor model
Kakushadze, Zura - In: The journal of asset management 17 (2016) 2, pp. 69-72
Persistent link: https://www.econbiz.de/10011442954
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On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models
Berger, Theo; Fieberg, Christian - In: Journal of risk finance : the convergence of financial … 17 (2016) 3, pp. 295-309
Persistent link: https://www.econbiz.de/10011628354
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Characterizing correlation matrices that admit a clustered factor representation
Tong, Chen; Hansen, Peter Reinhard - In: Economics letters 233 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014506906
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A common pattern across asset pricing anomalies
Božović, Miloš - In: Finance research letters 48 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013464296
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Can a dynamic correlation factor improve the pricing of industry portfolios?
Božović, Miloš - In: Finance research letters 53 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472399
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An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan; Shu, Lianjie; Gu, Xinhua - In: Journal of financial econometrics 22 (2024) 1, pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
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Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Alves, Rafael P.; Brito, Diego S. de; Medeiros, Marcelo C. - In: Journal of financial econometrics 22 (2024) 3, pp. 696-742
Persistent link: https://www.econbiz.de/10015045177
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Machine learning and factor-based portfolio optimization
Conlon, Thomas; Cotter, John; Kynigakis, Iason - 2021
Persistent link: https://www.econbiz.de/10012695791