Multi-Factor Models and Signal Processing Techniques
Author | : Jay Emmanuelle |
Publisher | : |
Total Pages | : 12 |
Release | : 2015 |
ISBN-10 | : OCLC:1308738229 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Multi-Factor Models and Signal Processing Techniques written by Jay Emmanuelle and published by . This book was released on 2015 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys the existing literature on the most widely-used factor models employed in the realm of financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this paper demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedures than the classical ones.