When Factors Do Not Span Their Basis Portfolios
指出传统方法构建的因子模拟组合难以定价其基础投资组合，并提出一种新方法将基础组合合并为单一因子模拟组合，提升简约因子模型的定价准确性，对研究资产定价和因子模型的学者有参考价值。
To price assets with a parsimonious set of factor-mimicking portfolios, one typically identifies and weights well-diversified basis portfolios. Traditional weightings lead to factor-mimicking portfolios that are unlikely to price even the basis portfolios from which they are formed. We offer a method to combine basis portfolios into a single factor-mimicking portfolio that is closely linked to the optimal portfolio. In practice, this method improves the pricing accuracy of parsimonious factor models, even for anomaly portfolios formed from characteristics that are distinct from those underlying the basis portfolios.