Style investing and the ICAPM
Empirical multifactor models of excess returns are theoretically grounded in Merton’sICAPM. Merton modeled investors who maximize expected utility of their own consumption. Multiplepriced factors arise as “hedge portfolios” most closely correlated with state variables that driveintertemporal changes...
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| Format: | Article |
| Language: | English |
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AIMS Press
2018-08-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | http://www.aimspress.com/article/10.3934/QFE.2018.3.702/fulltext.html |