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UID:calendar.135396.field_date.0@www.tse-fr.eu
DTSTAMP:20260614T164846Z
CREATED:20240724T111002Z
DESCRIPTION:Martin Lettau (Haas School of Business - University of Californ
 ia - Berkeley)\, “3D-PCA: Factor Models with Restrictions”\, Finance Semin
 ar\, Toulouse: TSE\, October 7\, 2024\, 11:00–12:30\, room Auditorium 5.\n
 \nThis paperproposeslatentfactor modelsformultidimensionalpanelscalled 3D-
 PCA. Factorweights are constructed from a small set of dimension-specific 
 building blocks\, which give rise to proportionality restrictions of facto
 r weights. While the set of feasible factors is restricted\, factors with 
 long/short structures often found in pricing factors are admissible. I est
 imate the model using a 3-dimensional data set of double-sorted portfolios
  of 11 characteristics. Factors estimated by 3DPCA have higher Sharpe rati
 os and smaller cross-sectional pricing errors than models with PCA or Fama
 -French factors. Since factor weights are subject to restrictions\, the nu
 mber of free parameters is small. Consequently\, the model produces robust
  results in short time series and performs well in recursive out-of-sample
  estimations.
DTSTART;TZID=Europe/Paris:20241007T120000
DTEND;TZID=Europe/Paris:20241007T133000
LAST-MODIFIED:20260113T095129Z
LOCATION:Toulouse: TSE\, October 7\, 2024\, 11:00–12:30\, room Auditorium 5
SUMMARY:Finance Seminar
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2024-3d-pca-factor-models-restr
 ictions
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