Multi-Factor Models And Signal Processing Techniques

多因子模型和信号处理技术

通信技术

售   价:
1427.00
发货周期:预计3-5周发货
作      者
出  版 社
出版时间
2013年07月11日
装      帧
精装
ISBN
9781848214194
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页      码
186
语      种
英文
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图书简介
Multi-factor Models and Signal Processing Techniques surveys the most widely used factor models employed in the realm of the financial asset pricing field. It offers a unique perspective on these models, using the concrete application of evaluating risks in the hedge fund industry to demonstrate that signal processing techniques can be an interesting alternative to the selection of factors, whether they are fundamental or statistical factors. More importantly, the book shows how the signal processing approach can provide more efficient estimation procedures based, for instance, on lq regularized Kalman Filtering.
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Yale University Library
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