Malevergne, Y.; Sornette, D. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 149-171
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles,...