Linear beta pricing with inefficient benchmarks in a given factor structure

Keyphrases

• Pricing Model 100%
• Risk Factors 50%
• Expected Returns 50%
• Security Returns 50%
• Computable 50%
• Insecurity 50%
• Underlying Risk Factors 50%
• Arbitrage Pricing 50%
• Linear Pricing 50%
• Risk Source 50%
• Beta Model 50%

Economics, Econometrics and Finance

• Pricing 100%
• Risk Factor 100%
• Arbitrage Pricing 50%

Computer Science

• Factor Structure 100%
• Expected Return 50%