Results 11 to 20 of about 6,903 (211)
The Arbitrage Pricing Model: A Pedagogic Derivation and a Spreadsheet-Based Illustration [PDF]
Spreadsheets in Education, 2016 This paper derives, from a pedagogic perspective, the Arbitrage Pricing Model, which is an important asset pricing model in modern finance. The derivation is based on the idea that, if a self-financed investment has no risk exposures, the payoff from the
Clarence C. Y. Kwan
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Arbitrage Pricing Theory: Evidence From An Emerging Stock Market
Lahore Journal of EconomicsThe development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Javed Iqbal, Aziz Haider
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Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
Journal of Optimization Theory and Applications, 2020 AbstractWe consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the ...
Laurence Carassus, Miklós Rásonyi
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Measuring the Pricing Error of the Arbitrage Pricing Theory [PDF]
Review of Financial Studies, 1995 This article provides an exact Bayesian frame work for analyzing the arbitrage pricing the ory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor modeL In particular, we propose a measure of the APT pricing deviations and obtain its exact posterior distribution.
John Geweke, Guofu Zhou
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Arbitrage Pricing and Equilibrium Pricing: Compatibility Conditions [PDF]
SSRN Electronic Journal, 2002 The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information: the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes.
Jouini, Elyès, Napp, Clotilde
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Asset Arbitrage and the Price of Oil [PDF]
SSRN Electronic Journal, 2011 It is commonly understood that macroeconomic shocks influence commodity prices and that one channel for this is the link between interest rates, expected future asset returns and stockholding. In this paper the link is extended to the petroleum market with the recognition that recorded stocks of oil comprise a small share of annual demand and that the ...
Arora, Vipin, Tyers, Rod
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Arbitrage and universal pricing [PDF]
Journal of Economic Dynamics and Control, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Liquidity risk and arbitrage pricing theory [PDF]
Finance and Stochastics, 2004 The purpose of this paper is to develop a model for the inclusion of liquidity risk into arbitrage pricing theory that incorporates the impact of differing trade sizes on the price. The approach is consistent with price inelasticities. It is done by hypothesizing the existence of stochastic supply curve for a security price as a function of a trade ...
Umut Çetin +2 more
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Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk(D-APT) in the Tehran Stock Exchange [PDF]
پژوهشهای مدیریت عمومی, 2017 Extended Abstract Arbitrage pricing theory presented by Ross is based on theory of the absence of arbitrage opportunities in financial market and its main condition is the existence of a linear relationship between the actual return and a set of common ...
Moslem Moradzadeh +2 more
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Stochastic measures of arbitrage [PDF]
, 2002 Arbitrage, risk-neutral probability measure, market integration, vector optimization, dual problem, duality gap, 90A09, 90B50, 90C29,
Balbás, Alejandro +3 more
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