Notes on Dynamic Factor Pricing Models
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References listed on IDEAS
- Ross, Stephen A., 1976.
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- Stephen A. Ross, "undated". "The Arbitrage Theory of Capital Asset Pricing," Rodney L. White Center for Financial Research Working Papers 02-73, Wharton School Rodney L. White Center for Financial Research.
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- Sentana, Enrique, 2004.
"Factor representing portfolios in large asset markets,"
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- Bruce N. Lehmann & David M. Modest, 2003. "Diversification and the Optimal Construction of Basis Portfolios," NBER Working Papers 9461, National Bureau of Economic Research, Inc.
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