The APT Model as Reduced-Rank Regression
将套利定价模型的两步整合为降秩回归，简化估计过程，推导渐近方差并处理样本不足问题，对金融经济学研究者有用。
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced-rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. We give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersized samples (more assets than time periods) can be dealt with.