Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Modelo de Risco Multifatorial (Fama-French, APT)× | Fatores de Risco de Componentes Principais× | |
|---|---|---|
| Área | Finanças | Finanças |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1993 | 1991 |
| Autor original≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Litterman & Scheinkman (bond-return factors); Connor & Korajczyk (statistical APT factors) |
| Tipo≠ | Multi-factor linear regression model | Statistical factor model (dimension reduction) |
| Fonte seminal≠ | 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 ↗ |
| Outros nomes≠ | 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) |
| Relacionados | 5 | 5 |
| Resumo≠ | 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. |
| ScholarGateConjunto de dados ↗ |
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