Package org.drip.investing.factorspec

Class CarryCategory

java.lang.Object
org.drip.investing.factorspec.CarryCategory
public class CarryCategory
extends java.lang.Object
CarryCategory holds the Settings of the Carry Factor Category. The References are:

  • Baltussen, G., L. Swinkels, and P. van Vliet (2021): Global Factor Premiums Journal of Financial Economics 142 (3) 1128-1154
  • Blitz, D., and P. van Vliet (2007): The Volatility Effect: Lower Risk without Lower Return Journal of Portfolio Management 34 (1) 102-113
  • Fisher, G. S., R. Shah, and S. Titman (2017): Combining Value and Momentum https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2472936 eSSRN
  • Houweling, P., and J. van Zundert (2017): Factor Investing in the Corporate Bond Market Financial Analysts Journal 73 (2) 100-115
  • Wikipedia (2024): Factor Investing https://en.wikipedia.org/wiki/Factor_investing


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int GAIN
    The "Gain" Carry Factor Category
    static int LOSE
    The "Lose" Carry Factor Category
    static int UNDEFINED
    The "Undefined" Carry Factor Category

  • Constructor Summary

    Constructors
    Constructor Description
    CarryCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • UNDEFINED

      public static final int UNDEFINED
      The "Undefined" Carry Factor Category
      See Also:
      Constant Field Values

    • GAIN

      public static final int GAIN
      The "Gain" Carry Factor Category
      See Also:
      Constant Field Values

    • LOSE

      public static final int LOSE
      The "Lose" Carry Factor Category
      See Also:
      Constant Field Values

  • Constructor Details

    • CarryCategory

      public CarryCategory()