FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?

DOI10.1142/S0219024913500209zbMath1271.91087OpenAlexW2039264945MaRDI QIDQ2842533

Sergio M. Focardi, Frank J. Fabozzi

Publication date: 15 August 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500209

zbMATH Keywords

principal component analysisfactor modelsProcrustes analysiscorrelation analysisclassical factor modelcluster-based factor model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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