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A simple approach to arbitrage pricing theory

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Huberman, Gur

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 28 (1982)
Issue (Month): 1 (October)
Pages: 183-191
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Handle: RePEc:eee:jetheo:v:28:y:1982:i:1:p:183-191

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  1. Steve Satchell, 1999. "The Small Noise Arbitrage Pricing Theory," Research Paper Series 4, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  2. Miklós Rásonyi, 2004. "Arbitrage pricing theory and risk-neutral measures," Decisions in Economics and Finance, Springer, vol. 27(2), pages 109-123, December. [Downloadable!] (restricted)
  3. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
    Other versions:
  4. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
  6. Rolf Elgeti & Raimond Maurer, 2000. "Zur Quantifizierung von Risikoprämien deutscher Versicherungsaktien im Kontext von Multifaktorenmodellen," Working Paper Series: Finance and Accounting 59, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  7. M Ali Khan & Yeneng Sun, 2002. "Exact Arbitrage Well-Diversified Potfolios and Asset Pricing in Large Markets," Economics Working Paper Archive 483, The Johns Hopkins University,Department of Economics. [Downloadable!]
    Other versions:
  8. Richard Sweeney & Arthur Warga, 1984. "The Pricing of Unanticipated Changes in Expected Inflation: Evidence from the Stock Market," University of California at Los Angeles, Anderson Graduate School of Management 1218, Anderson Graduate School of Management, UCLA. [Downloadable!]
  9. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation, Yale University. [Downloadable!]
  10. Björk, Tomas & Näslund, Bertil, 1996. "Diversified Portfolios in Continuous Time," Working Paper Series in Economics and Finance 122, Stockholm School of Economics. [Downloadable!]
  11. Pesaran, M.H. & Zaffaroni, P., 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics 0813, Faculty of Economics, University of Cambridge. [Downloadable!]
    Other versions:
  12. Sergio Ortobelli & Svetlozar Rachev & Eduardo Schwartz, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management 1066, Anderson Graduate School of Management, UCLA. [Downloadable!]
  13. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  14. Korajczyk, Robert A., 1995. "A measure of stock market integration for developed and emerging markets," Policy Research Working Paper Series 1482, The World Bank. [Downloadable!]
    Other versions:
  15. Bruce N. Lehmann, 1992. "Notes on Dynamic Factor Pricing Models," NBER Working Papers 3677, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO. [Downloadable!]
  18. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Quantitative Finance Papers physics/0702027, arXiv.org. [Downloadable!]
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