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Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]

Journal of Optimization Theory and Applications, 2020
We 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
Laurence Carassus, Miklós Rásonyi
core   +6 more sources

Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri [PDF]

Journal of Economic Bussines and Accounting (COSTING), 2018
CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship.
Indra, Y. A. (Yetti)
core   +4 more sources

An Empirical Examination of the Arbitrage Pricing Theory: Evidences from the U.S. Stock Market [PDF]

Journal of Modern Accounting and Auditing, 2019
This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking, chemicals, insurance, telecommunication, and utilities industries in the U.S. market. Using a multifactor pricing model and data from 1998:01 to
Mahdy F. Elhusseiny, Nyakundi M. Michieka, Benjamin Bae   +2 more
openalex   +2 more sources

Valuation of Government Bonds: the Exchange Rate Is an Important Aspect [PDF]

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017
Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds.
Blanka Francová
doaj   +3 more sources

A Robust Application of the Arbitrage Pricing Theory: Evidence from Nigeria [PDF]

, 2017
Arbitrage pricing theory (APT) is a testable theory based on the idea that in competitive financial markets arbitrage will ensure that riskless assets provide the same expected return. We sought to confirm the relevance of the arbitrage pricing theory in
J., Oyetayo Oluwatosin, Olufemi, Adeyeye Patrick   +1 more
core   +3 more sources

The Validity of the Arbitrage Pricing Theory in the Jordanian Stock Market

, 2012
This paper aims to test the validity and applicability of the Arbitrage Pricing Theory (APT) in Amman Stock Exchange (ASE) during the period 2001-2011.
Imad Zeyad Ramadan
openalex   +3 more sources

Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012

APMBA (Asia Pacific Management and Business Application), 2015
For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return
Leo Julianto
doaj   +3 more sources

Arbitrage Pricing Theory Model Application on Tobacco and Cigarette Industry in Indonesia [PDF]

Integrated Journal of Business and Economics, 2019
The purpose of this study was to applicant the Arbitrage Pricing Theory model in the tobacco and cigarette industry listed on the IDX. The APT model in this study uses macroeconomic variables consisting of exports, inflation, exchange rates, GDP and ...
Sakina Ichsani, Neneng Susanti, Agatha Rinta Suhardi   +2 more
doaj   +2 more sources

Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange

South African Journal of Business Management, 1986
In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than ...
M. J. Page
doaj   +3 more sources

Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT) [PDF]

International Journal of Business, Economics, and Social Development
Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This
Puspa Dwi Ayu Banowati, Betty Subartini, Sukono Sukono   +2 more
doaj   +2 more sources