one-factor model
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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. American Banker Glossary … Financial and business terms
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 the expected return on any risky asset is a linear function of a single factor. The New York Times Financial … Financial and business terms
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. Bloomberg Financial… … Financial and business terms
Multi-Factor Model — A financial model that employs multiple factors in its computations to explain market phenomena and/or equilibrium asset prices. The multi factor model can be used to explain either an individual security or a portfolio of securities. It will do… … Investment dictionary
single-factor model — A model of security returns that acknowledges only one common factor. The single factor is usually the market return. Bloomberg Financial Dictionary See: factor model. Bloomberg Financial Dictionary … Financial and business terms
Single factor model — A model of security returns that acknowledges only one common factor. See: factor model. The New York Times Financial Glossary … Financial and business terms
Fama-French three-factor model — In the portfolio management field, Eugene Fama and Kenneth French developed the highly successful Fama French three factor model to describe market behavior.CAPM uses a single factor, beta, to compare the excess returns of a portfolio with the… … Wikipedia
Factor analysis — is a statistical method used to describe variability among observed, correlated variables in terms of a potentially lower number of unobserved, uncorrelated variables called factors. In other words, it is possible, for example, that variations in … Wikipedia
factor analysis — A family of statistical techniques for exploring data, generally used to simplify the procedures of analysis, mainly by examining the internal structure of a set of variables in order to identify any underlying constructs. The most common version … Dictionary of sociology
Cox–Ingersoll–Ross model — Three trajectories of CIR Processes In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. It is a type of one factor model (short rate model) as it describes interest rate movements as… … Wikipedia
Black-Derman-Toy model — In finance, the Black Derman Toy model is a model of the evolution of the yield curve, sometimes referred to as a short rate model. It is a one factor model; that is, a single stochastic factor (the short rate) determines the future evolution of… … Wikipedia
