Martínez, Benjamín García; Valdés, Arturo Lorenzo - In: Revista de Administración, Finanzas y Economía … 2 (2008) 2, pp. 162-178
risk factor that considers the information aj?0 (misspricing) and to select a portafolio that considers that the source of … inefficiency is resulted from the omission of risk factors. The information contained in the residual covariance (S) resulting of … an exact structure of the determination of the expected returns of the assets on the basis of a linear model of risk …
