Package org.drip.investing.factorspec

Class TermCategory

java.lang.Object
org.drip.investing.factorspec.TermCategory
public class TermCategory
extends java.lang.Object
TermCategory holds the Settings of the Term 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 LONG
    The "Long" Term Factor Category
    static int SHORT
    The "Short" Term Factor Category
    static int UNDEFINED
    The "Undefined" Term Factor Category

  • Constructor Summary

    Constructors
    Constructor Description
    TermCategory()  

  • 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" Term Factor Category
      See Also:
      Constant Field Values

    • LONG

      public static final int LONG
      The "Long" Term Factor Category
      See Also:
      Constant Field Values

    • SHORT

      public static final int SHORT
      The "Short" Term Factor Category
      See Also:
      Constant Field Values

  • Constructor Details

    • TermCategory

      public TermCategory()