Scribd Logo
Загрузить

Добро пожаловать в Scribd!

  • Factor and Clusters

    Загружено:

    csamora
    5 просмотров1 страница
    F 0 is common to all returns and corresponds to a 'factor' that affects all stocks, albeit with different 'impacts' Bi. The e I are random variables, specific to each individual stock, and are often called the idiosyncratic contributions, or residuals. The correlation matrix of the one factor model is easly computed to be: C i, j =Bi B j [?].

    Исходное описание:

    Авторское право

    © Attribution Non-Commercial (BY-NC)

    Доступные форматы

    PDF, TXT или читайте онлайн в Scribd

    Этот документ был вам полезен?

    Это неприемлемый материал?

    Пожаловаться на этот документ
    F 0 is common to all returns and corresponds to a 'factor' that affects all stocks, albeit with different 'impacts' Bi. The e I are random variables, specific to each individual stock, and are often called the idiosyncratic contributions, or residuals. The correlation matrix of the one factor model is easly computed to be: C i, j =Bi B j [?].

    Авторское право:

    Attribution Non-Commercial (BY-NC)
    Скачайте в формате PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    5 просмотров1 страница

    Factor and Clusters

    Загружено:

    csamora
    F 0 is common to all returns and corresponds to a 'factor' that affects all stocks, albeit with different 'impacts' Bi. The e I are random variables, specific to each individual stock, and are often called the idiosyncratic contributions, or residuals. The correlation matrix of the one factor model is easly computed to be: C i, j =Bi B j [?].

    Авторское право:

    Attribution Non-Commercial (BY-NC)
    Скачайте в формате PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 1

    9.3 Factorsandclusters 9.3.1. Onefactormodels The emprirical results of Section 9.1.

    9.1.3 show that the correlation matrix has one dominanteigenvaluei,muchlargethalalltheothers.Thissuggeststhateachreturn icanbedecomposedas: i=Bi f 0ei where f 0 and e i are M 1 uncorrelated random variables, of variance 2 respectivelyequalto . and sigma 2 ,and Bi arefixedparameters.The i samerandomvariable f 0 iscommontoallreturnsandcorrespondstoa'factor' thataffects all stocks,albeit withdifferent 'impacts' Bi .The e i are random variables,specifictoeachindividualstock,andareoftencalledtheidiosyncratic contributions,orresiduals.Thecorrelationsbetweenstockare,inthissocalledone factormodel,entirelyincludedbythecommonfactor f 0 .Inreality,aswewill discuss below, the residuals are themselves correlated, for example when two companiesbelongthesameindustrialsector. Thecorrelationmatrixoftheonefactormodeliseaslycomputedtobe: C i , j =Bi B j . sigma2 d i , j
    2

    Вам также может понравиться