A Mean-Variance Derivation of a Multi-Factor Equilibrium Model
用均值-方差方法推导多因子均衡模型，揭示因子性质，对先验定义的多因子模型实证检验有重要启示。
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.