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Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note

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  • Chen, Nai-fu
  • Ingersoll, Jonathan E, Jr

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  • Chen, Nai-fu & Ingersoll, Jonathan E, Jr, 1983. " Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note," Journal of Finance, American Finance Association, vol. 38(3), pages 985-988, June.
  • Handle: RePEc:bla:jfinan:v:38:y:1983:i:3:p:985-88
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    Cited by:

    1. Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
    2. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO.
    3. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
    4. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
    5. Chadwick, Meltem, 2010. "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper 79060, University Library of Munich, Germany.
    6. repec:rss:jnljfm:v1i2p1 is not listed on IDEAS
    7. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics,in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier.

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