MULTI-FACTOR MODELS USING HIGH DIMENSIONAL APPROACHES
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.
Asset pricing model; high-dimensional statistics; LASSO; machine learning; minimax prototype clustering; multi-factor model
Wells, Martin Timothy
Jarrow, Robert A.
Master of Science
dissertation or thesis