Chamberlain, Gary; Rothschild, Michael Arbitrage, factor structure, and mean-variance analysis on large asset markets. (English) Zbl 0523.90017 Econometrica 51, 1281-1304 (1983). Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page Cited in 5 ReviewsCited in 167 Documents MSC: 91B28 Finance etc. (MSC2000) Keywords:mean-variance analysis; arbitrage; market with many assets; risk-free investment; approximate factor structure; principal component analysis; finance; continuous portfolio costs PDF BibTeX XML Cite \textit{G. Chamberlain} and \textit{M. Rothschild}, Econometrica 51, 1281--1304 (1983; Zbl 0523.90017) Full Text: DOI Link OpenURL