Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.
Thematic Investing: A Risk-Based Perspective.Financial Analysts Journal, 81(4):103– 120, 2025
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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.