Multi-factor Models and Signal Processing Techniques - Serges Darolles; Emmanuelle Jay; Patrick Duvaut

Multi-factor Models and Signal Processing Techniques
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Autor: Serges Darolles; Emmanuelle Jay; Patrick Duvaut

 Wydawnictwo: ISTE Publishing Company
ISBN: 9781848214194
EAN:
Format: ...
Oprawa: twarda
Stron: 320
Data wydania: 2013-08-01
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Multi-factor Models and Signal Processing Techniques surveys the most widely used factor models employed in the realm of the financial asset pricing field. It offers a unique perspective on these models, using the concrete application of evaluating risks in the hedge fund industry to demonstrate that signal processing techniques can be an interesting alternative to the selection of factors, whether they are fundamental or statistical factors. More importantly, the book shows how the signal processing approach can provide more efficient estimation procedures based, for instance, on lq regularized Kalman Filtering.

Książka "Multi-factor Models and Signal Processing Techniques"
Serges Darolles; Emmanuelle Jay; Patrick Duvaut