-. Model and . Proposition, Alternative Definition of an APT model Let R = A + BF + E be a K-factors model with the assumptions K < N Var (F ) invertible, E (E) = 0 and cov

D. Ruppert, Statistics and Finance, an introduction Springer Texts in Statistics PierreBrugì ere (2016) Portfolio Management v2, p.115, 2004.