Package org.drip.investing.model

Class CapitalAssetPricing1F

java.lang.Object

org.drip.investing.factors.FactorModel

org.drip.investing.model.CapitalAssetPricing1F

public class CapitalAssetPricing1F
extends FactorModel

CapitalAssetPricing1F implements the One-factor Capital Asset Pricing Model. The References are:

• Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
• Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
• Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
• Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
• Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Factor/Style Based Quantitative Investing
• Package = Multi-Factor Model Suite implementation

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
static CapitalAssetPricing1F	Standard(MarketFactor marketFactor)	Construct a Standard Instance of the 1F CAPM using the Market Factor Instance

Methods inherited from class org.drip.investing.factors.FactorModel

addFactor, code, containsFactor, description, factorCodeSet, factorMap, factorSet, numberOfFactors

Methods inherited from class java.lang.Object

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

Method Details

Standard

public static final CapitalAssetPricing1F Standard(MarketFactor marketFactor)

Construct a Standard Instance of the 1F CAPM using the Market Factor Instance

Parameters:

marketFactor - Market Factor

Returns:

Standard Instance of the 1F CAPM