A Mean-Variance Derivation of a Multi-Factor Equilibrium Model

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 <italic>a priori</italic> defined multi-factor model.

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Year of publication:	1987
Authors:	Ehrhardt, Michael C.
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 22.1987, 02, p. 227-236
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005407046