Package org.drip.investing.engine

Class FactorBetaType

java.lang.Object
org.drip.investing.engine.FactorBetaType
public class FactorBetaType
extends java.lang.Object
FactorBetaType holds the various Kinds of Factor Betas. The References are:

  • Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
  • Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
  • Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
  • Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
  • Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int ON_GROSS_RETURNS
    Beta on Gross Factor Returns
    static int ON_MARKET_PREMIA
    Beta on Market Premia
    static int ON_RISK_PREMIA
    Beta on Risk Premia

  • Constructor Summary

    Constructors
    Constructor Description
    FactorBetaType()  

  • Method Summary

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • ON_GROSS_RETURNS

      public static final int ON_GROSS_RETURNS
      Beta on Gross Factor Returns
      See Also:
      Constant Field Values

    • ON_RISK_PREMIA

      public static final int ON_RISK_PREMIA
      Beta on Risk Premia
      See Also:
      Constant Field Values

    • ON_MARKET_PREMIA

      public static final int ON_MARKET_PREMIA
      Beta on Market Premia
      See Also:
      Constant Field Values

  • Constructor Details

    • FactorBetaType

      public FactorBetaType()