Chapter 14: Latent Factor Models
Stochastic Discount Factors, No-Arbitrage Moments, and HJ Distance intermediate
A stochastic discount factor is the object that prices everything at once. If it fails, the failure shows up as a portfolio the model misprices.
A stochastic discount factor is the object that prices everything at once. If it fails, the failure shows up as a portfolio the model misprices.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Deep Learning in Asset Pricing
Luyang Chen, Markus Pelger, Jason Zhu
(2021)
Factor Models, Machine Learning, and Asset Pricing
Stefano Giglio, Bryan Kelly, Dacheng Xiu
(2022)
— Annual Review of Financial Economics