The incompleteness problem of the APT model

DOI10.1007/S10614-011-9255-1zbMath1231.91109OpenAlexW1993264060MaRDI QIDQ719016

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

asymptoticsbiashigh-dimensional dataprincipal componentsAPT

Mathematics Subject Classification ID

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

Cites Work

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• On the Wiberg algorithm for matrix factorization in the presence of missing components
• The isotropic scaling problem in generalized Procrustes analysis
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Lower Rank Approximation of Matrices by Least Squares with Any Choice of Weights
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Realistic Statistical Modelling of Financial Data

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