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Arbitrage, factor structure and mean-variance analysis on large asset markets
Chamberlain, Gary, (1982)
Factor representing portfolios in large asset markets
Sentana, Enrique, (2000)
Mathematical techniques in finance : tools for incomplete markets
Černý, Aleš, (2004)
The likehood function of conditionally heteroskedastic factor models
The relation between conditionally heteroskedastic factor models and factor GARCH models
Sentana, Enrique, (1998)
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix
Sentana, Enrique, (1999)