Package org.drip.investing.model

Class MramorPahorFoye3F

java.lang.Object

org.drip.investing.factors.FactorModel

org.drip.investing.model.MramorPahorFoye3F

public class MramorPahorFoye3F
extends FactorModel

MramorPahorFoye3F implements the Mramor-Pahor Fama-French 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 MramorPahorFoye3F	Standard(MarketFactor marketFactor, CapitalizationFactor capitalizationFactor, MramorPahorFactor mramorPahorFactor)	Construct a Standard Instance of the 3F Mramor-Pahor-Foye Model using the Factor Instances

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 MramorPahorFoye3F Standard(MarketFactor marketFactor,
CapitalizationFactor capitalizationFactor,
MramorPahorFactor mramorPahorFactor)

Construct a Standard Instance of the 3F Mramor-Pahor-Foye Model using the Factor Instances

Parameters:

marketFactor - Market Factor

capitalizationFactor - Capitalization Factor

mramorPahorFactor - Mramor-Pahor Accounting Adjustment Factor

Returns:

Standard Instance of the 3F Mramor-Pahor-Foye Model