Package org.drip.investing.factors

Class RiskPremiumCategory

java.lang.Object
org.drip.investing.factors.RiskPremiumCategory
public class RiskPremiumCategory
extends java.lang.Object
RiskPremiumCategory maintains the Category corresponding to the Risk Premium. 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 COMMODITY
    Commodity Risk
    static int CREDIT_SPREAD
    Credit Spread Risk
    static int EQUITY
    Equity Risk
    static int FX
    FX Risk
    static int INTEREST_RATE
    Interest Rate Risk

  • Constructor Summary

    Constructors
    Constructor Description
    RiskPremiumCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

  • Constructor Details

    • RiskPremiumCategory

      public RiskPremiumCategory()