Multiple Factor Risk Models and Exact Factor Pricing
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References listed on IDEAS
- Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Grossman, Sanford J. & Vila, Jean-Luc, 1992.
"Optimal Dynamic Trading with Leverage Constraints,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 27(02), pages 151-168, June.
- Sanford J. Grossman & Jean-Juc Vila, "undated". "Optimal Dynamic Trading with Leverage Constraints," Rodney L. White Center for Financial Research Working Papers 36-89, Wharton School Rodney L. White Center for Financial Research.
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