Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.
Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.The Journal of Finance, 19(3):425–442, 1964
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Enhancing a Risk Model by Adding Transient Statistical Factors
Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.