The purpose of this paper is to present a rank based approach to cross-sectional linear factor modelling. The emphasis is on approximating factor exposures in a consistent manner in order to facilitate the merging of subjective information (from professional investors) with objective information...

The purpose of this paper is to present a rank based approach to cross-sectionallinear factor modelling. The emphasis is on approximating factor exposures in aconsistent manner in order to facilitate the merging of subjective information(from professional investors) with objective information...