Chapter 14: Latent Factor Models
CAPM, APT, and Fama-French: From Beta to Multifactor Pricing intermediate
How classical asset-pricing models separate exposure from compensation, and why that distinction still frames latent factor methods.
How classical asset-pricing models separate exposure from compensation, and why that distinction still frames latent factor methods.
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References
The Capital Asset Pricing Model
André F. Perold
(2004)
— Journal of Economic Perspectives
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
The Cross-Section of Expected Stock Returns
Eugene F. Fama, Kenneth R. French
(1992)
— The Journal of Finance
Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French
(1993)
— Journal of Financial Economics
The Capital Asset Pricing Model: Theory and Evidence
Eugene F. Fama, Kenneth R. French
(2004)
— Journal of Economic Perspectives
A five-factor asset pricing model
Eugene F. Fama, Kenneth R. French
— Journal of Financial Economics
Factor Models of Asset Returns
Gregory Connor, Robert Korajczyk
(2009)
Ten Applications of Financial Machine Learning
Marcos López de Prado, Frank J. Fabozzi
(2025)
— The Journal of Portfolio Management
Enhancing Time Series Momentum Strategies Using Deep Neural Networks
Bryan Lim, Stefan Zohren, Stephen Roberts
(2019)