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Abstract
Liquid Factor Models and Better Exposure Estimation
By Dale W.R. Rosenthal
University of Illinois at Chicago, USA
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Abstract
I discuss various types of factor models and propose that liquidly-traded factors may outperform other types of factors. Evidence from other work suggests a small number of such liquid factors. Some of these have possible estimation issues due to multicollinearity. I suggest reformulations of factors and changes to the estimation method to alleviate these issues and reduce hedging costs. Finally, I show how a liquid factor model performs for a few well-known investment funds.
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Committee
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Conference
Student Paper
Key Dates
Communication
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