Package org.drip.investing.factors
Interface FactorPortfolioRanker
- All Known Implementing Classes:
TopDownSegmentRanker
public interface FactorPortfolioRanker
FactorPortfolioRanker contains Functionality for Ranking the Factor Portfolio Constituents. 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
- Module = Portfolio Core Module
- Library = Asset Allocation Analytics
- Project = Factor/Style Based Quantitative Investing
- Package = Factor Types, Characteristics, and Constitution
- Author:
- Lakshmi Krishnamurthy
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Method Summary
Modifier and Type Method Description java.util.Map<java.lang.String,FactorComponentLoading>rank(java.util.Map<java.lang.String,FactorComponentLoading> factorComponentLoadingMap)Generate the Map of Ranked Factor Components from the Input Factor Component Loading Map
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Method Details
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rank
java.util.Map<java.lang.String,FactorComponentLoading> rank(java.util.Map<java.lang.String,FactorComponentLoading> factorComponentLoadingMap)Generate the Map of Ranked Factor Components from the Input Factor Component Loading Map- Parameters:
factorComponentLoadingMap- Input Factor Component Loading Map- Returns:
- The Map of Ranked Factor Components
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