FOCARDI, SERGIO M.; FABOZZI, FRANK J. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350020-1
In this paper, we analyze factor uniqueness in the S&P 500 universe. The current theory of approximate factor models applies to infinite markets. In the limit of infinite markets, factors are unique and can be represented with principal components. If this theory would apply to realistic markets...