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Quantitative Finance
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Si Chen
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5 Questions

Score Activity Newest Views
1 vote
0 answers
41 views

how should I update a return factor's orthogonalization parameters?

factor-models factor-investing opentaps-climate
asked Dec 16, 2021 at 21:55
1 vote
0 answers
46 views

how to measure the stability of factor loadings?

factor-models fama-french opentaps-climate
asked Oct 20, 2021 at 18:12
0 votes
0 answers
29 views

what is the right time period for estimating factor loadings in multi factor models?

factor-models fama-french risk-models opentaps-climate
asked Oct 1, 2021 at 20:21
4 votes
0 answers
66 views

are there any good papers on sector-specific versions of factor models?

equities factor-models fama-french risk-models opentaps-climate
asked Oct 1, 2021 at 15:37
4 votes
0 answers
88 views

How do we know if an additional factor has improved the predictive power of a Fama French 3 factor equity model?

equities factor-models fama-french factor-investing opentaps-climate
asked Sep 25, 2021 at 1:42
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