The incompleteness problem of the APT model

DOI10.1007/S10614-011-9255-1MaRDI QIDQ719016zbMATH OpenOpenAlexFDO

Authors Peter S. Karlsson

Publication date 27 September 2011

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-011-9255-1

zbMATH Keywords

APTasymptoticsbiashigh-dimensional dataprincipal components

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 3599325 (Why is no real title available?)
• scientific article; zbMATH DE number 2146311 (Why is no real title available?)
• scientific article; zbMATH DE number 3340892 (Why is no real title available?)
• Lower Rank Approximation of Matrices by Least Squares with Any Choice of Weights
• On the Wiberg algorithm for matrix factorization in the presence of missing components
• Realistic Statistical Modelling of Financial Data
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• The isotropic scaling problem in generalized Procrustes analysis

Cited in

(2)

• On the impact of infrequent trading on the APT systematic risk components -- evidence from a thin security market
• Finding the relevant risk factors for asset pricing

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