The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios
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The Arbitrage Pricing Theory (APT) of Ross (1976) presumes that a factor model describes security returns. In this paper, we provide a comprehensive examination of the merits of various strategies for constructing basis portfolios that are, in principle, highly correlated with the common factors
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美国国家经济研究局创建时间：
1985-10-01
