Mimicking Portfolios and Exact Arbitrage Pricing

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Mimicking Portfolios and Exact Arbitrage Pricing

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Huberman, Gur
Kandel, Shmuel
Stambaugh, Robert F

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Abstract

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 such transformations and discuss empirical considerations. They also provide conditions under which the mimicking positions can be expressed as portfolios and characterize the relation between mimicking portfolios and the minimum-variance frontier. Copyright 1987 by American Finance Association.

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 42 (1987)
Issue (Month): 1 (March)
Pages: 1-9
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Handle: RePEc:bla:jfinan:v:42:y:1987:i:1:p:1-9

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