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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
L. Carassus, M. Rásonyi
semanticscholar +4 more sources
Stochastic arbitrage return and its implications for option pricing [PDF]
, 2004 The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic ...
Fedotov, Sergei, Panayides, Stephanos
core +4 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.
Yetti Afrida Indra
semanticscholar +5 more sources
On pricing kernels, information and risk [PDF]
Investment Analysts Journal, 2015, Vol 44, No 1, 1-19, 2013 We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the ...
Gebbie, T. J., Wilcox, D. L.
core +2 more sources
Arbitrage-Free Pricing Before and Beyond Probabilities [PDF]
arXiv, 2013 "Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement.
Paulot, Louis
core +2 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. O. Oluwatosin, A. Olufemi
semanticscholar +3 more sources
Social Science Research Network, 2021 The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors. Two aspects of the APT are considered.
M. Pesaran, Ron P. Smith
semanticscholar +1 more source
Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]
Mathematics of Operations Research, 2016 We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions.
Matteo Burzoni +4 more
semanticscholar +1 more source
Jurnal Ilmu Manajemen, 2019 The formulation of the problem in this study was how the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII).
Ervita Safitri +2 more
semanticscholar +1 more source
The Capital Assets Pricing Model & Arbitrage Pricing Theory: Properties and Applications in Jordan
Modern Applied Science, 2018 This paper aimed to test the validity of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) in Jordanian stock Market using three different firms of three main sectors, financial, industrial, and service sector for the period Q1 (2000)
Ibrahim Alshomaly, R. Masa’deh
semanticscholar +1 more source