A NOTE ON THE GENERALIZED MULTIBETA CAPM

Cheng‐Few ‐F Lee; Haim Reisman; Yusif Simaan

doi:10.1111/j.1467-9965.1994.tb00050.x

A NOTE ON THE GENERALIZED MULTIBETA CAPM

Cheng‐Few ‐F Lee, Haim Reisman, Yusif Simaan

Rutgers Business School, Finance & Economics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.

Original language	English (US)
Pages (from-to)	67-68
Number of pages	2
Journal	Mathematical Finance
Volume	4
Issue number	1
DOIs	https://doi.org/10.1111/j.1467-9965.1994.tb00050.x
State	Published - Jan 1994

All Science Journal Classification (ASJC) codes

Accounting
Social Sciences (miscellaneous)
Finance
Economics and Econometrics
Applied Mathematics

Keywords

capital asset pricing model
elliptical probability distributions
portfolio theory

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10.1111/j.1467-9965.1994.tb00050.x

Cite this

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abstract = "The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.",

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A NOTE ON THE GENERALIZED MULTIBETA CAPM

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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