Exact Arbitrage Pricing and the Minimum‐Variance Frontier
研究了罗斯套利定价理论与均值方差分析之间的关系，推导了因子风险溢价向量与最小方差前沿上存在严格正权重投资组合的等价条件，并给出了子集存在正权重最小方差组合的充分条件。
ABSTRACT The author examines the relationship between the Arbitrage Pricing Theory of Ross and mean‐variance analysis. In particular, conditions are derived on the vector of the factor risk premia that are equivalent to the existence of a strictly positively weighted portfolio on the minimum‐variance frontier. Also, a sufficient condition is given under which the existence of a positive minimum‐variance portfolio of all the assets in the economy will imply the existence of a positive minimum‐variance portfolio on a subset. This means that rejection of the hypothesis of the existence of a positive minimum‐variance portfolio on a subset satisfying this condition implies rejection for the whole set.