MULTI-FACTOR MODELS USING HIGH DIMENSIONAL APPROACHES
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Author
Zhu, Liao
Abstract
Capital Asset Pricing Model (CAPM) model has been widely studied and hundreds of papers attempt to add a few new factors into the model. In this paper, instead of adding only a few factors, we introduced a new system of high-dimensional approaches to study thousands of factors together. As a result, the fitting power was dramatically raised which also comes with a strong economic explanation.
Description
49 pages
Date Issued
2019-12
Committee Chair
Wells, Martin Timothy
Committee Member
Jarrow, Robert A.
Degree Discipline
Statistics
Degree Name
M.S., Statistics
Degree Level
Master of Science
Type
dissertation or thesis
Link(s) to Catalog Record