Multi‐factor Risk‐return Relationships
推导了三种多因子风险收益关系，分别适用于有效前沿上、内部及无套利市场，并批判了以往依赖期望收益标准差的方法。
This paper derives three multi‐factor risk‐return relationships each of which employs macro‐economic variables in presenting the underlying factors that influence security returns. The first relationship holds if the underlying portfolio lies on the expected return‐standard deviation efficient frontier, the second is valid when the underlying portfolio lies inside the efficient frontier and the third characterises security markets in which no arbitrage opportunities are present. An attempt is also made to appraise critically previous multi‐factor risk‐return relationships which rely on an expected return‐standard deviation approach.