Lehmann, Bruce N.; Modest, David M. - In: Management Science 51 (2005) 4, pp. 581-598
Nontrivial diversification possibilities arise when a factor model describes security returns. This paper catalogs the merits of alternative strategies for constructing basis portfolios to mimic the common factors. We show how to use the \chi <sup>2</sup> statistic for the joint significance of mean basis...
