Our implementation of the multi-factor Arbitrage Pricing Theory model provides
a useful measure of the risk and return included in an investor's portfolio. Our
GAMS implementation enables the investor to find the optimal portfolio to
satisfy their risk or return objectives. This tradeoff is inherent in the calculation
of portfolio earnings, and thus both objectives can never be simultaneously
achieved. Although our model fails to address some realistic possibilities, their
exclusion enables our model to provide a solution in a much shorter amount of
time.
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