Huberman, Gur; Kandel, Shmuel; Stambaugh, Robert F - In: Journal of Finance 42 (1987) 1, pp. 1-9
The authors characterize the sets of mimicking positions whose returns can serve in place of factors in an exact K-factor arbitrage pricing relation for a set of N assets. All of the sets are K-dimensional nonsingular linear transformations of each other. The authors interpret three examples of...