Package org.drip.investing.riskindex

Class VolatilityFactor

java.lang.Object

org.drip.investing.factors.Factor

org.drip.investing.riskindex.VolatilityFactor

public class VolatilityFactor
extends Factor

VolatilityFactor is the Implementation of the Volatility Factor. The References are:

• Carhart, M. M. (1997): On Persistence of Mutual Fund Performance Journal of Finance 52 (1) 57-82
• Fama, E. F., and K. R. French (1993): Common Risk Factors in the Returns on Stocks and Bonds Journal of Financial Economics 33 (1) 3-56
• Hezbi, H., and A. Salehi (2016): Comparison of Explanatory Power of Carhart Four-factor Model and Fama-French Five-factor Model in Prediction of Expected Stock Returns Financial Engineering and Portfolio Management 7 (28) 137-152
• Low, R. K. Y., and E. Tan (2016): The Role of Analysts’ Forecasts in the Momentum Effect International Review of Financial Analysis 48 67-84
• Wikipedia (2024): Carhart Four Factor Model https://en.wikipedia.org/wiki/Carhart_four-factor_model

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Factor/Style Based Quantitative Investing
• Package = Implementation of Risk Factor Indices

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
VolatilityFactor(java.lang.String code, int metricType, FactorPortfolio portfolio, FactorPortfolioRanker portfolioRanker)	VolatilityFactor Constructor

Method Summary

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

code, description, metricType, portfolio, portfolioRanker, rankedFactorComponentLoadingMap

Methods inherited from class java.lang.Object

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

Constructor Details

VolatilityFactor

public VolatilityFactor(java.lang.String code,
int metricType,
FactorPortfolio portfolio,
FactorPortfolioRanker portfolioRanker)
                 throws java.lang.Exception

VolatilityFactor Constructor

Parameters:

code - Factor Code

metricType - Factor Metric Type

portfolio - Factor Portfolio

portfolioRanker - Factor Portfolio Ranker

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid