Popular One-Factor Models by Asset Classes

2021 ◽  
pp. 29-51
Keyword(s):  
Factor Models ◽  
Asset Classes

Momentum Investing Across Different Asset Classes

2021 ◽  
pp. 297-315
Author(s):  
Zrinka Orlović ◽  
Zrinka Lovretin Golubić ◽  
Davor Zoričić
Keyword(s):  
Risk Factors ◽  
Cross Section ◽  
Factor Models ◽  
Bond Markets ◽  
Risk Premiums ◽  
Performance Drivers ◽  
Momentum Investing ◽  
Asset Classes ◽  
Mean Variance ◽  
Underlying Risk

Instead of traditionally looking at investing in different types of asset classes in order to exploit diversification effects, investors are turning to the underlying performance drivers built-in in many asset classes – factors. The intuition is that assets earn risk premiums because they are exposed to underlying risk factors. Factor models were developed as a simplification and continuation of diversification principle and mean-variance efficiency introduced by Harry Markowitz. This chapter will focus on one of the standard investment and cross section factors called momentum. It became very popular since 1993 when Jegadeesh and Titman documented that strategies that buying stocks that have performed well in the past and selling stocks that have performed poorly generate significant positive returns. This chapter aims to provide an introduction to factor models development and momentum effects on stock and bond markets – description of methodology and detailed literature overview.

Control of processing at multi-tool two-support setup

2020 ◽  
pp. 67-73
Author(s):  
N.D. YUsubov ◽  
G.M. Abbasova
Keyword(s):  
Degrees Of Freedom ◽  
Factor Model ◽  
Angular Displacement ◽  
Factor Models ◽  
Technological System ◽  
Displacement Control ◽  
Model Accuracy ◽  
Six Degrees Of Freedom ◽  
Angular Displacements ◽  
And Control

The accuracy of two-tool machining on automatic lathes is analyzed. Full-factor models of distortions and scattering fields of the performed dimensions, taking into account the flexibility of the technological system on six degrees of freedom, i. e. angular displacements in the technological system, were used in the research. Possibilities of design and control of two-tool adjustment are considered. Keywords turning processing, cutting mode, two-tool setup, full-factor model, accuracy, angular displacement, control, calculation [email protected]

Impact of factor models on portfolio risk measures: a structural approach

2012 ◽  
Vol 8 (2) ◽  
pp. 47-79 ◽  
Author(s):  
Marcos Escobar ◽  
Tobias Frielingsdorf ◽  
Rudi Zagst
Keyword(s):  
Risk Measures ◽  
Factor Models ◽  
Structural Approach ◽  
Portfolio Risk
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