Regression model

Mfumo wa Hatari wa Vipengele (Fama-French, APT)

Mfumo wa hatari wa vipengele ni mfumo wa vipengele vingi unaounganisha marejesho ya mali kwenye vipengele vya hatari vya mfumo kama vile soko, thamani, ukubwa, na kasi. Mifumo ya vipengele vitatu na vitano vya Fama-French (1993) na Nadharia ya Bei ya Arbitrage ya Ross (1976) hugawanya hatari ya kwingineko na kugundua alpha.

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Mfumo wa Hatari wa Vipengele (Fama-French, APT)

Mifumo ya Hatari ya Miko…Uboreshaji wa Pato la Pa…Urejeshaji wa Njia ya Vi…Sababu Kuu za Hatari za…Mchanganuo wa Kutokuwa n…Kielelezo cha bei ya mal…Kalman Filter

Vyanzo

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: 10.1016/0304-405X(93)90023-5 ↗
Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13(3), 341-360. DOI: 10.1016/0022-0531(76)90046-6 ↗

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 1). Multi-Factor Risk Model (Fama-French, Arbitrage Pricing Theory). ScholarGate. https://scholargate.app/sw/finance/factor-risk-model

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Kielelezo cha bei ya mali hatarishi (CAPM)Kalman Filter

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