Journal of Financial and Quantitative Analysis Vol. 22 No. 2 1987
A Mean-Variance Derivation of a Multi-Factor Equilibrium Model
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.
- DOI
- 10.2307/2330714
- Volume
- 22
- Issue
- 2
- Pages
- 227
- Sources
- crossref openalex