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Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
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 +2 more sources
Arbitrage Pricing Theory and its relevance in modelling market
This research compares the Arbitrage Pricing Theory (APT) to the Capital Asset Pricing Theory (CAPT) by looking at numerous macroeconomic factors that affect market security prices and determining how APT explains the majority of the returns. The goal of
Anuradha Yadav, Pooja Srikanth Hegde
semanticscholar +3 more sources
Liquidity risk and arbitrage pricing theory [PDF]
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 �etin+2 more
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An Empirical Examination of the Arbitrage Pricing Theory: Evidences from the U.S. Stock Market [PDF]
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+2 more
semanticscholar +2 more sources
Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]
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 +8 more sources
Scope of the arbitrage pricing theory [PDF]
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
The Validity of the Arbitrage Pricing Theory in the Jordanian Stock Market
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.
I. Z. Ramadan
semanticscholar +3 more sources
Virtual Arbitrage Pricing Theory [PDF]
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities.
Kirill Ilinski
openalex +5 more sources
Arbitrage Pricing Theory Model Application on Tobacco and Cigarette Industry in Indonesia [PDF]
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+2 more
doaj +2 more sources
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
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