A type of financial modeling whereby a variety of different factors are employed to its calculations in explaining its asset prices.
Related information about multi-factor model:
- Multi-Factor Model Definition | Investopedia
A financial model that employs multiple factors in its computations to explain market phenomena and/or equilibrium asset prices. The multi-factor model can be ...
- Multi-Factor Model
Multi-Factor Model. ri = αi + βi1 f1 + βi2 f2 + βi3 f3 + βi4 f4 + ……+ βin fn + ei ,. ri = stock i's return. f1, f2, f3, f4, …, fn = macro economic factors. βi1, βi2, βi3, βi4, …
- 1.3.5.5. Multi-factor Analysis of Variance
Detect significant factors, The analysis of variance (ANOVA) (Neter, Wasserman, and Kutner, 1990) is used to detect significant factors in a multi-factor model.
- Multiple Factor Model – Building Risk Model « Systematic Investor
Feb 21, 2012 ... MSCI Barra United States Equity Multi-Factor Model, page 101 · Northfield Fundamental Risk Model. The outline of this post: Run cross ...
- A multi-dynamic-factor model for stock returns - Deep Blue at the ...
2.1. A multi-factor model with dynamic factors. Let yr be a vector of N asset excess returns (rates of return minus a riskfree rate). A typical multi-factor model is. K ...
- A multi-factor model for the valuation and risk managment of ...
Downloadable! How should we value and manage deposit accounts where deposits have a zero contractual maturity, but which, in practice, remain stable ...
- 1 Factor Models
and when k ≥ 2 we call it a multi-factor model. We use the notation fj = E(fj), σ2 fj. = var(fj), σ2 ej. = var(ej) throughout our discussion. The factors are chosen by ...
- Multi-Factor Model of Correlated Commodity-Forward Curves for ...
Title: Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets. Author: Ellefsen, Per Einar; Sclavounos, Paul D.