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A NOTE ON THE GENERALIZED MULTIBETA CAPM |
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| Authors: | Cheng-Few Lee Haim Reisman Yusif Simaan |
| Affiliation: | School of Business, Rutgers University, New Brunswick, NJ 08903;Faculty of Industrial Engineering and Management, Technion City, Haifa 32000, Israel;Graduate School of Business Administration, Fordham University at Lincoln Center, New York, NY 10023 |
| Abstract: | The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution. |
| Keywords: | portfolio theory capital asset pricing model elliptical probability distributions |