A NOTE ON THE GENERALIZED MULTIBETA CAPM

Cheng Few Lee, Haim Reisman and Yusif Simaan

Mathematical Finance, 1994, vol. 4, issue 1, 67-68

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.

Date: 1994
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