TY - JOUR
AU - INGERSOLL, JONATHAN E.
AB -  Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note NAI-FU CHEN, and JONATHAN E. INGERSOLL, JR.* THEARBITRAGE PRICING THEORY (APT), originally formulated by Ross [6, 8 1 and later extended by Connor [l], Huberman [4], and Ingersoll [5], predicts an approximate, linear pricing relation among expected returns as the number of assets approaches infinity. Connor [l] also shown this pricing relation to be has asymptotically exact under additional conditions on asset supplies, returns distributions, and utility functions. The purpose of this communication is threefold. We want to: (1) identify a sufficient characteristic of an economy from which we can infer an exact pricing equation with finitely many assets; (2) emphasize the distinction between the pricing relation and the portfolio separation results in [l] and [a]; and (3) facilitate the understanding of linear factor models without resorting to infinite asset economies and asymptotic mathematics. Some of the following ideas can be found in the above mentioned articles in slightly more complicated settings. Assume the return generating process for each asset i, i = 1, . N, in the economy can be represented by e 7 zero common factor; bij is the sensitivity of the return on 
TI - Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note
JF - The Journal of Finance
DO - 10.1111/j.1540-6261.1983.tb02512.x
DA - 1983-06-01
UR - https://www.deepdyve.com/lp/wiley/exact-pricing-in-linear-factor-models-with-finitely-many-assets-a-note-0TQ8XhTEyA
SP - 985
VL - 38
IS - 3
DP - DeepDyve
ER -