Package org.drip.investing.factors

Factor Types, Characteristics, and Constitution
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    FactorPortfolioRanker
    FactorPortfolioRanker contains Functionality for Ranking the Factor Portfolio Constituents.
  • Class Summary
    Class Description
    Factor
    Factor holds the Named Factor and its Portfolio.
    FactorComponentLoading
    FactorComponentLoading holds the Weight and the Loading corresponding to each Factor.
    FactorMeta
    FactorMeta maintains the Meta Attributes of every Factor.
    FactorModel
    FactorModel contains the Settings of a Scheme that calibrates Betas over the specified Collection of Factors.
    FactorPortfolio
    FactorPortfolio has the Portfolio Details that constitute a Factor.
    FactorPortfolioComponentAttribute
    FactorPortfolioComponentAttribute holds the Attributes of each Component that constitutes the Factor Portfolio.
    PortfolioFinancingScheme
    PortfolioFinancingScheme maintains the Financing Scheme Settings used in Factor Portfolio Construction.
    RiskPremiumCategory
    RiskPremiumCategory maintains the Category corresponding to the Risk Premium.
    TopDownSegmentRanker
    TopDownSegmentRanker implements the Top-Down Sliced Ranking the Factor Portfolio Constituents.