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

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  • Ehrhardt, Michael C.

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.

Suggested Citation

  • Ehrhardt, Michael C., 1987. "A Mean-Variance Derivation of a Multi-Factor Equilibrium Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(2), pages 227-236, June.
    • Handle: RePEc:cup:jfinqa:v:22:y:1987:i:02:p:227-236_01
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    Cited by:

    1. Joel M. Vanden, 2021. "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, vol. 17(2), pages 153-186, June.

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