Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| Monitekijäinen riskimalli (Fama-French, APT)× | Risk Factor PCA (Pääkomponenttianalyysi riskitekijöille)× | |
|---|---|---|
| Tieteenala | Rahoitus | Rahoitus |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 1993 | 1991 |
| Kehittäjä≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) |
| Tyyppi≠ | Multi-factor linear regression model | Statistical factor model (dimension reduction) |
| Alkuperäislähde≠ | 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 ↗ | Litterman, R. & Scheinkman, J. (1991). Common Factors Affecting Bond Returns. Journal of Fixed Income, 1(1), 54-61. DOI ↗ |
| Rinnakkaisnimet≠ | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory | risk factor PCA, return covariance decomposition, statistical factor model, Risk Faktörü PCA (Getiri Kovaryans Ayrışımı) |
| Liittyvät | 5 | 5 |
| Tiivistelmä≠ | 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. | Risk Factor PCA is a dimension-reduction method that decomposes the return covariance matrix of many assets into a small set of orthogonal principal components interpreted as systematic risk factors. Litterman and Scheinkman (1991) used it to show that bond returns are driven by a few common factors, and Connor and Korajczyk (1988) developed the statistical-factor interpretation for the APT. |
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