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| Модел на многофакторен риск (Fama-French, APT)× | Метод на най-малките квадрати (МНК)× | |
|---|---|---|
| Област≠ | Финанси | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1993 | 2019 |
| Създател≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Wooldridge (textbook treatment); classical least squares |
| Тип≠ | Multi-factor linear regression model | Linear regression |
| Основополагащ източник≠ | Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Други названия≠ | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Свързани | 5 | 5 |
| Резюме≠ | A factor risk model is a multi-factor framework that links asset returns to systematic risk factors such as the market, value, size, and momentum. The Fama-French three- and five-factor models (1993) and Ross's Arbitrage Pricing Theory (1976) decompose portfolio risk and detect alpha. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
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