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Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note

Authors

  • NAI-FU CHEN,

  • JONATHAN E. INGERSOLL JR.

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    • Graduate School of Business, University of Chicago; Graduate School of Business, University of Chicago, visiting 1982–3 School of Organization and Management, Yale University. This research was conducted during the academic year 1981–2 when the second author was a Batterymarch Fellow. Additional support was provided by the Sloan Foundation. We would like to thank Michael Brennan and Phil Dybvig for helpful comments on an earlier version of this paper. Since writing the first draft, it has come to our attention that similar results are presented in [2], [3], and [9].

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