Package org.drip.investing.factors

Class FactorPortfolio

java.lang.Object
org.drip.investing.factors.FactorPortfolio
public class FactorPortfolio
extends java.lang.Object
FactorPortfolio has the Portfolio Details that constitute a Factor. 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

  • Constructor Summary

    Constructors
    Constructor Description
    FactorPortfolio​(java.util.Map<java.lang.String,​FactorComponentLoading> factorComponentLoadingMasterUniverseMap, java.lang.String country, boolean isGlobal, int financingScheme)
    FactorPortfolio Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String country()
    Retrieve the Country
    java.util.Map<java.lang.String,​FactorComponentLoading> factorComponentLoadingMasterUniverseMap()
    Retrieve the Factor Component Loading Master Universe Map
    int financingScheme()
    Retrieve the Financing Scheme
    boolean isGlobal()
    Indicate if the Portfolio is Global

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FactorPortfolio

      public FactorPortfolio​(java.util.Map<java.lang.String,​FactorComponentLoading> factorComponentLoadingMasterUniverseMap, java.lang.String country, boolean isGlobal, int financingScheme) throws java.lang.Exception
      FactorPortfolio Constructor
      Parameters:
      factorComponentLoadingMasterUniverseMap - Factor Component Loading Master Universe Map
      country - Country
      isGlobal - TRUE - The Portfolio is Global
      financingScheme - Financing Scheme
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • factorComponentLoadingMasterUniverseMap

      public java.util.Map<java.lang.String,​FactorComponentLoading> factorComponentLoadingMasterUniverseMap()
      Retrieve the Factor Component Loading Master Universe Map
      Returns:
      The Factor Component Loading Master Universe Map

    • country

      public java.lang.String country()
      Retrieve the Country
      Returns:
      The Country

    • isGlobal

      public boolean isGlobal()
      Indicate if the Portfolio is Global
      Returns:
      TRUE - The Portfolio is Global

    • financingScheme

      public int financingScheme()
      Retrieve the Financing Scheme
      Returns:
      The Financing Scheme