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  • Search: subject:"cluster-based factor model"
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Subject
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Factor models 2 Procrustes analysis 2 classical factor model 2 cluster-based factor model 2 correlation analysis 2 principal component analysis 2 Correlation 1 Factor analysis 1 Faktorenanalyse 1 Hauptkomponentenanalyse 1 Korrelation 1 Principal component analysis 1 Theorie 1 Theory 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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FABOZZI, FRANK J. 1 FOCARDI, SERGIO M. 1 Fabozzi, Frank J. 1 Focardi, Sergio M. 1
Published in...
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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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 applies to infinite markets. In the limit of infinite markets, factors are unique and can be represented with principal components. If this theory would apply to realistic markets...
Persistent link: https://www.econbiz.de/10010883221
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Cover Image
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 finance 16 (2013) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10009779764
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