On the robustness of factor structures to asset repackaging

DOI10.1016/S0304-4068(97)00069-4zbMath0938.91023OpenAlexW2092133180WikidataQ126400506 ScholiaQ126400506MaRDI QIDQ1300417

Nabil I. Al-Najjar

Publication date: 25 June 2000

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(97)00069-4

zbMATH Keywords

robustnessasset repackagingfactor structures

Mathematics Subject Classification ID

Cites Work

• On the arbitrage pricing theory
• Factor analysis and arbitrage pricing in large asset economies
• Decomposition and Characterization of Risk with a Continuum of Random Variables

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