A Mean-Variance Derivation of a Multi-Factor Equilibrium Model

1 June 1987

journal article
Published by JSTOR in Journal of Financial and Quantitative Analysis

Vol. 22 (2) , 227
https://doi.org/10.2307/2330714

Abstract

The primary objective of this paper is to derive a multi-factor equilibrium model using a mean-variance approach. The results of this derivation provide greater insight into the nature of the resulting factors than does APT. There are several important implications for empirical tests of any a priori defined multi-factor model.

Keywords

FACTOR EQUILIBRIUM
MULTI FACTOR
VARIANCE DERIVATION
EQUILIBRIUM MODEL
MEAN VARIANCE

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