Package org.drip.investing.factorspec

Class VolatilityCategory

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

  • Constructor Summary

    Constructors
    Constructor Description
    VolatilityCategory()  

  • 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" Volatility Factor Category
      See Also:
      Constant Field Values

    • LOW

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

    • HIGH

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

  • Constructor Details

    • VolatilityCategory

      public VolatilityCategory()