Results 1 to 10 of about 745,052 (202)
Virtual Arbitrage Pricing Theory [PDF]
arXiv, 1999 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
arxiv +7 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 random process rapidly varying in time.
Fedotov, Sergei, Panayides, Stephanos
arxiv +6 more sources
Risk-neutral pricing for Arbitrage Pricing Theory [PDF]
, 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
Carassus, Laurence, Rásonyi, Miklós
core +4 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 JSE.
Gebbie, T. J., Wilcox, D. L.
arxiv +4 more sources
Liquidity risk and arbitrage pricing theory [PDF]
Finance and Stochastics, 2004 Classical theories of financial markets assume an infinitely liquid market and that all traders act as price takers. This theory is a good approximation for highly liquid stocks, although even there it does not apply well for large traders or for modelling transaction costs.
Umut �etin +2 more
openalex +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. Prices are given by linear forms which do not always correspond to probabilities. We give examples of such cases.
Paulot, Louis
arxiv +3 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
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
Arbitrage Pricing Theory for Idiosyncratic Variance Factors [PDF]
Journal of Financial Econometrics, 2022 Abstract We develop an arbitrage pricing theory framework extension to study the pricing of squared returns/volatilities. We analyze the interplay between factors at the return level and those in idiosyncratic variances. We confirm the presence of a common idiosyncratic variance factor, but do not find evidence that this represents a ...
Èric Renault +2 more
openalex +4 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 +2 more
doaj +2 more sources