Package org.drip.investing.factors

Class FactorPortfolioComponentAttribute

java.lang.Object
org.drip.investing.factors.FactorPortfolioComponentAttribute
public class FactorPortfolioComponentAttribute
extends java.lang.Object
FactorPortfolioComponentAttribute holds the Attributes of each Component that constitutes the Factor Portfolio. 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
    FactorPortfolioComponentAttribute​(double weight, double returns, int category)
    FactorPortfolioComponentAttribute Constructor

  • Method Summary

    Modifier and Type Method Description
    int category()
    Retrieve the Category Attribute
    double returns()
    Retrieve the Returns Attribute
    double weight()
    Retrieve the Weight Attribute

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FactorPortfolioComponentAttribute

      public FactorPortfolioComponentAttribute​(double weight, double returns, int category) throws java.lang.Exception
      FactorPortfolioComponentAttribute Constructor
      Parameters:
      weight - The Weight Attribute
      returns - The Returns Attribute
      category - The Category Attribute
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • weight

      public double weight()
      Retrieve the Weight Attribute
      Returns:
      The Weight Attribute

    • returns

      public double returns()
      Retrieve the Returns Attribute
      Returns:
      The Returns Attribute

    • category

      public int category()
      Retrieve the Category Attribute
      Returns:
      The Category Attribute