A Mean-Variance Derivation of a Multi-Factor Equilibrium Model
Journal of Financial and Quantitative Analysis · 1987 · Volume 22 · Issue 2
Abstract
The primary objective of this paper is to derive a multi-factor equilibrium model using a mean-variance approach. The results of this derivation provide greater insight into the nature of the resulting factors than does APT. There are several important implications for empirical tests of any a priori defined multi-factor model.
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