Package org.drip.investing.factorspec

Class MarketCategory

java.lang.Object
org.drip.investing.factorspec.MarketCategory
public class MarketCategory
extends java.lang.Object
MarketCategory holds the Settings of the Market 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 ABSENT
    The Absent Market Factor Category
    static int PRESENT
    The Present Market Factor Category

  • Constructor Summary

    Constructors
    Constructor Description
    MarketCategory()  

  • Method Summary

    Methods inherited from class java.lang.Object

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

  • Field Details

    • PRESENT

      public static final int PRESENT
      The Present Market Factor Category
      See Also:
      Constant Field Values

    • ABSENT

      public static final int ABSENT
      The Absent Market Factor Category
      See Also:
      Constant Field Values

  • Constructor Details

    • MarketCategory

      public MarketCategory()