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Mathematical finance / Arbitrage pricing theory / Volatility / Principal component analysis / Beta


APT with Idiosyncratic Variance Factors PRELIMINARY AND INCOMPLETE: PLEASE DO NOT CITE WITHOUT PERMISSION Eric Renault∗, Thijs van der Heijden†, and Bas J.M. Werker‡ January 9, 2016
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Document Date: 2016-07-08 02:33:07

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File Size: 395,34 KB

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