Mimicking Portfolios and Exact Arbitrage Pricing
刻画了在N个资产的精确K因子套利定价关系中，能够替代因子的模拟头寸的集合，并给出了这些头寸可表示为投资组合的条件及其与最小方差前沿的关系。
ABSTRACT We characterize the sets of mimicking positions with returns that can serve in place of factors in an exact K ‐factor arbitrage‐pricing relation for a set of N assets. All of the sets are K ‐dimensional nonsingular linear transformations of each other. We interpret three examples of such transformations and discuss empirical considerations. We provide conditions under which the mimicking positions can be expressed as portfolios, and we characterize the relation between mimicking portfolios and the minimum‐variance frontier.