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A Mean-Variance Derivation of a Multi-Factor Equilibrium Model

Published online by Cambridge University Press:  06 April 2009

Michael C. Ehrhardt
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Abstract

The primary objective of this paper is to derive a multi-factor equilibrium model using a mean-variance approach. The results of this derivation provide greater insight into the nature of the resulting factors than does APT. There are several important implications for empirical tests of any a priori defined multi-factor model.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 2 , June 1987 , pp. 227 - 236
Copyright
Copyright © School of Business Administration, University of Washington 1987

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References

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