Factor model
A way of decomposing the factors that influence a security's rate of return into common and
firm-specific influences.
Factor portfolio ...
Single-factor model
Definition: [crh] A model of security returns that acknowledges only one common factor. The single factor is usually the Definition: /?rd=market+return"market return. See: Factor model.
one-factor model
A simple financial model where the future price of an instrument is the single variable or unknown. One-factor models, such as Black-Scholes or Vasicek, usually lead to closed form solutions. See closed form solution.
Two-factor model
Usually, Fischer Black's zero-beta version of the capital asset pricing model. It may also refer to another type of model whereby expected returns are generated by any two factors.
Three Factor Model for Portfolio Management
Three factor model is a widely followed model for portfolio management. It successfully explains more than 90 per cent of return from markets and products.
Single-factor model
A model of security returns that acknowledges only one common factor. The single factor is usually the market return.
Single-payment bond ...
Factor models use a large sample of historical yield curve data and construct a set of basis functions that can be linearly combined to represent these curve movements in the most economical way.
A factor model that expands on the capital asset pricing model (CAPM) by adding size and value factors in addition to the market risk factor in CAPM. This model considers the fact that value and small cap stocks outperform markets on a regular basis.
Two-factor model
Black's zero-beta version of the capital asset pricing model.
Stochastic models
Liability-matching models that assume that the liability payments and the asset cash flows are uncertain.
Two-factor model Black's zero-beta version of the capital pricing model.
Two-fund separation theorem The theoretical result that all investors will hold a combination of the risk-free and the .
Type The classification of an as either a or a .
A mutual fund that invests in individual countries outside the United States.
Single-factor model ...
Multifactor model
A model with more than two factors. In the context of trade theory this is likely to mean a Heckscher-Ohlin Model with more than two factors.
Multifiber Arrangement ...
One-factor APT A special case of the arbitrage pricing theory that is derived from the one-factor model by using diversification and arbitrage. It shows that the expected return on any risky asset is a linear function of a single factor.
De Nicolò and Lucchetta (2010) first use a dynamic factor model to work out joint forecasts of indicators of systemic real risk and systemic financial risk, ...
Perhaps the best known factor model is the CAPM (capital asset pricing model).
More sophisticated are factor models (also called sector models). These split each obligation's default probability into two components. One is a function of some factor, such as the performance of the stock market. The other is obligor specific.
Security Market Line - SML
Treynor Ratio
Two-factor model
Zero-Beta Portfolio ...
Arbitrage pricing theory (APT)
Consumption beta (C-CAPM)
Efficient market hypothesis
Fama-French three-factor model
Hamada's equation
Modern portfolio theory
Risk
Risk management tools
Roll's critique
Valuation (finance) ...
See r-squared, and the pages on CAPM regression and the Fama and French three factor model.
Arbitrage Pricing Theory Model (APT)
Build-Up Model
Capital Asset Pricing Model (CAPM)
Discounted Cash Flow Model
Fama-French Three Factor Model ...
 See also: Expected return, Asset pricing model, Capital asset pricing model, Saving, Expense
  
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