L'APT et la question du nombre de facteurs
Journal de la société française de statistique (1992)
- Volume: 133, Issue: 4, page 161-165
- ISSN: 1962-5197
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topMalécot, Jean-François. "L'APT et la question du nombre de facteurs." Journal de la société française de statistique 133.4 (1992): 161-165. <http://eudml.org/doc/198800>.
@article{Malécot1992,
author = {Malécot, Jean-François},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {161-165},
publisher = {Société de statistique de Paris},
title = {L'APT et la question du nombre de facteurs},
url = {http://eudml.org/doc/198800},
volume = {133},
year = {1992},
}
TY - JOUR
AU - Malécot, Jean-François
TI - L'APT et la question du nombre de facteurs
JO - Journal de la société française de statistique
PY - 1992
PB - Société de statistique de Paris
VL - 133
IS - 4
SP - 161
EP - 165
LA - fre
UR - http://eudml.org/doc/198800
ER -
References
top- CHATTERJEE S., PARI R.A. (1990), " Bootstrapping the Number of Factors in the Arbitrage Pricing Theory", J. of Financial Research, 15-21.
- BURTMEISTER E., MCELROY M.B. ( 1988a) " Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory", J. of Finance, 721-733.
- BURTMEISTER E., MCELROY M.B. ( 1988b) " Sorting out Risks Using Known APT Factors", Financial Analyst Journal, 29-42.
- DHRYMES P.J., FRIEND I., GULTEKIN N.B. (1984) " A Critical Examination of the Empirical Evidence on the Arbitrage Pricing Theory", J. of Finance, 323-346.
- LAWLEY D.N., MAXWELL A.E. (1971) Factor Analysis as a Statistical Method, Elsevier. Zbl0251.62042MR343471
- LEHMANN B.N., MODEST D.M. (1985) " The Empirical Foundations of the Arbitrage Pricing Theory II : the Optimal Construction of Basis Portfolio", Document de recherche non publié.
- LEHMANN B.N., MODEST D.M. (1988) " The Empirical Foundations of the Arbitrage Pricing Theory", J. of Financial Economies, 21-254.
- ROLL R., ROSS S.A. (1984) " A Reply", J. of Financial Economies, 347-350.
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