Results 1 to 10 of about 173,417 (247)
Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]
Mathematics of Operations Research, 2019 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. We obtain abstract (pointwise) fundamental theorem of asset pricing and pricing–hedging duality.
Matteo Burzoni +4 more
semanticscholar +9 more sources
Scope of the arbitrage pricing theory [PDF]
Anali Ekonomskog fakulteta u Subotici, 2019 An important element of the positive portfolio theory which in addition to the Capital Asset Pricing Model (CAPM) provides an important contribution in terms of understanding the relationship between return and risk and pricing of assets in the capital ...
Leković Miljan
doaj +3 more sources
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 ...
Carassus, Laurence, Rásonyi, Miklós
openaire +4 more sources
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
openalex +3 more sources
A Robust Application of the Arbitrage Pricing Theory: Evidence from Nigeria
, 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
Oyetayo Oluwatosin J. +1 more
openalex +2 more sources
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
openalex +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
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
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: Evidence From An Emerging Stock Market [PDF]
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
doaj +2 more sources