Martínez, Benjamín García; Valdés, Arturo Lorenzo - In: Revista de Administración, Finanzas y Economía … 2 (2008) 2, pp. 162-178
“Orthogonal portfolios” methodology applied by Roll (1980), in order to get an orthogonal zero-beta portafolio when we have a nonefficient market index in Mean-Variance approach, is used by MacKinley and Pastor (2000) to obtain a non observed risk factor that considers the information aj?0...
