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Edwin Elton, Martin Gruber, Joel Rentzler, The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation, The Journal of Finance, Vol. 38, No. 2, Papers and Proceedings Forty-First Annual Meeting American Finance Association New York, N.Y. December 28-30, 1982 (May, 1983), pp. 525-537
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Elton et al. (1983) studied this question.
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