方法证据记录
Factor Risk Model
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.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Multi-Factor Risk Model (Fama-French, Arbitrage Pricing Theory)
分类方法记录 · regression-model / finance
- 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
精选声明
声明已持久化到证据分类账中，每个声明都有自己的评估。
尚无精选声明
当分类账中没有声明时，此视图不会自行创建声明评估。
相关方法
从方法图中生成，显示为机器建议的关系 — 不推断任何证据声明。