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  4. MULTI-FACTOR MODELS USING HIGH DIMENSIONAL APPROACHES

MULTI-FACTOR MODELS USING HIGH DIMENSIONAL APPROACHES

File(s)
Zhu_cornell_0058O_10753.pdf (262.1 KB)
Permanent Link(s)
https://doi.org/10.7298/jzjn-d335
https://hdl.handle.net/1813/70070
Collections
Cornell Theses and Dissertations
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
Keywords
Asset pricing model
•
high-dimensional statistics
•
LASSO
•
machine learning
•
minimax prototype clustering
•
multi-factor model
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
https://newcatalog.library.cornell.edu/catalog/13119641

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