Package org.drip.investing.factorspec

Class ValueCategory

java.lang.Object
org.drip.investing.factorspec.ValueCategory
public class ValueCategory
extends java.lang.Object
ValueCategory holds the Settings of the Value 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 HIGH
    The "High" Value Factor Category
    static int LOW
    The "Low" Value Factor Category
    static int UNDEFINED
    The "Undefined" Value Factor Category

  • Constructor Summary

    Constructors
    Constructor Description
    ValueCategory()  

  • 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" Value Factor Category
      See Also:
      Constant Field Values

    • LOW

      public static final int LOW
      The "Low" Value Factor Category
      See Also:
      Constant Field Values

    • HIGH

      public static final int HIGH
      The "High" Value Factor Category
      See Also:
      Constant Field Values

  • Constructor Details

    • ValueCategory

      public ValueCategory()