ARBITRAGE, FACTOR STRUCTURE, AND MEAN-VARIANCE ANALYSIS ON LARGE ASSET MARKETS

被引：588

作者：

CHAMBERLAIN, G

ROTHSCHILD, M

机构：

[1] UNIV WISCONSIN,MADISON,WI 53706

[2] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

关键词：

D O I：

10.2307/1912275

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：1281 / 1304

页数：24

共 14 条

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[4]

CONNOR G, 1980, 47 YAL U TECHN PAP

[5] A SIMPLE APPROACH TO ARBITRAGE PRICING THEORY [J].

HUBERMAN, G .

KREPS, DM .

[7]

LAWLEY DN, 1971, FACTOR ANAL STATISTI

[8]

RAO CR, 1973, LINEAR STATISTICAL I

[9]

Reed Michael, 1972, METHODS MODERN MATH, VI

[10] AN EMPIRICAL-INVESTIGATION OF THE ARBITRAGE PRICING THEORY [J].

ROLL, R ;

ROSS, SA .