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Funds, Factors, and Diversification in Arbitrage Pricing Models
Home
Publications
Funds, Factors, and Diversification in Arbitrage Pricing Models
Funds, Factors, and Diversification in Arbitrage Pricing Models
Author:
GC
Gary Chamberlain
Gary Chamberlain
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1 September 1983
journal article
Published by
JSTOR
in
Econometrica
Vol. 51
(5)
,
1305
DOI:
10.2307/1912276
Abstract
We present a definition of factor structure that is less restrictive than the one typically used in arbitrage pricing models. Our factor structure restrictions ...
Keywords
FUNDS
FACTORS
ARBITRAGE PRICING MODELS
DIVERSIFICATION IN ARBITRAGE
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