Results 161 to 170 of about 1,698,577 (227)
Some of the next articles are maybe not open access.
2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
openaire +4 more sources
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
openaire +4 more sources
Arbitrage pricing with information
Journal of Financial Economics, 1983R. Stambaugh
semanticscholar +3 more sources
Intertemporal Arbitrage Pricing Theory
Review of Financial Studies, 1992It is shown that the arbitrage pricing theory holds in each infinitesimal period of a continuous trading model under the assumption that dividend payoffs are functionals of factor and idiosyncratic uncertainty. This generalizes the one-period model's result that the arbitrage pricing theory holds under the assumption that price changes in a given ...
openaire +2 more sources
1987
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
openaire +2 more sources
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
openaire +2 more sources
Asset Pricing with Arbitrage Activity
SSRN Electronic Journal, 2013We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility.
Julien Hugonnier, Rodolfo Prieto
openaire +1 more source
Approximate Arbitrage: The Arbitrage Pricing Technique
1991This chapter extends the concept of arbitrage to encompass approximate arbitrage and develops the arbitrage pricing technique (or APT); this may be interpreted as a generalisation of the version of the CAPM developed in Chapter 3.
openaire +1 more source
1999
The ‘unreasonable effectiveness’ of mathematics is evidenced by the frequency with which mathematical techniques that were developed without thought for practical applications find unexpected new domains of applicability in various spheres of life. This phenomenon has customarily been observed in the physical sciences; in the social sciences its impact
Robert J. Elliott, P. Ekkehard Kopp
openaire +1 more source
The ‘unreasonable effectiveness’ of mathematics is evidenced by the frequency with which mathematical techniques that were developed without thought for practical applications find unexpected new domains of applicability in various spheres of life. This phenomenon has customarily been observed in the physical sciences; in the social sciences its impact
Robert J. Elliott, P. Ekkehard Kopp
openaire +1 more source
Arbitrage Pricing Theory in Ergodic Markets
SSRN Electronic Journal, 2017Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, but empirical applications of APT are, nowadays, based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces in a natural way.
openaire +1 more source
Economics Letters, 1987
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
1997
Abstract This chapter deals with two fundamental insights about the relationship among asset returns. First, an asset may have state-contingent pay-offs that can also be obtained by forming an appropriate portfolio of other assets.
Jürgen Eichberger, Ian R Harper
openaire +1 more source
Abstract This chapter deals with two fundamental insights about the relationship among asset returns. First, an asset may have state-contingent pay-offs that can also be obtained by forming an appropriate portfolio of other assets.
Jürgen Eichberger, Ian R Harper
openaire +1 more source