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Lecture 15 Factor Models - MIT OpenCourseWare

Lecture 15 Factor Models - MIT OpenCourseWare

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Fundamental Factor Models Statistical Factor Models: Factor Analysis Principal Components Analysis Statistical Factor Models: Principal Factor Method. Fundamental Factor Models. The common-factor variables ff. t. gare determined using fundamental, asset-speci c attributes such as. Sector/industry membership. Firm size (market capitalization ...

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