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Some Results in the Theory of Arbitrage Pricing
The Journal of Finance, 1984ABSTRACTThis paper derives a stronger version of Huberman's recent “preference free” pricing theorem. This pricing result relates the expected return on an asset to its factor responses and the covariance structure of the residuals from a linear factor model.
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A simple approach to arbitrage pricing theory
Journal of Economic Theory, 1982The following sections are included:INTRODUCTIONARBITRAGE PRICINGDISCUSSIONREFERENCESdiscussion: Notes on the Arbitrage Pricing TheoryPURE ARBITRAGE PRICING THEORYAPPROXIMATE ARBITRAGE AND THE APTAPPROXIMATE FACTOR MODELSTHE COMPETITIVE EQUILIBRIUM VERSION OF THE ...
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2018
This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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A General Approach to the Arbitrage Pricing Theory (APT)
Econometrica, 1988The APT is studied in economies in which the choice space is an arbitrary normed vector space. No notion of positivity of the price functional is needed in formulating the theory. The definition of an approximate factor structure in the style of \textit{G. Chamberlain} and \textit{M. Rothschild} [ibid.
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THE PRICING OF FUTURES CONTRACTS AND THE ARBITRAGE PRICING THEORY
Journal of Financial Research, 1990AbstractWhen interest rates are stochastic, the cash flows of futures and forward contracts differ because of the marking‐to‐market requirement of futures contracts. The price effect of this difference is examined here by applying the risk and return model of the arbitrage pricing theory.
Jack S. K. Chang +2 more
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Uncertainty and the arbitrage pricing theory
Atlantic Economic Journal, 1997This paper tests the economic importance of income uncertainty in the context of a measured factor arbitrage pricing theory model. This provides a test of the importance of uncertainty using a different methodology and data set than are traditionally used.
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Is the Arbitrage Pricing Theory Dead?
SSRN Electronic Journal, 2007Is the Arbitrage Pricing Theory dead? This paper addresses this question by deriving a multibeta representation theorem, which can price assets using arbitrary reference variables that are not the true factors. Under this theorem, the upper bound on pricing deviations depends upon the correlations not only between the reference variables and the ...
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On tests of the arbitrage pricing theory
OR Spektrum, 1984zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Methodology of Arbitrage Pricing Theory
1991The arbitrage pricing theory (APT) as discussed in Chapter 5 starts from the plausible assumption that there are a number of factors which drive the return on any financial asset. Whereas the CAPM is driven by a single factor, the return on the market portfolio, the APT allows that many factors drive rates of return.
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Perspective on Arbitrage Pricing Theory
SSRN Electronic Journal, 2011The development of financial equilibrium asset pricing models has taken major importance in the present financial theory research world. These models are extensively tested for developed markets. Focusing on arbitrage pricing theory, this paper tries to analyze its effect in the Indian stock market. The advantages of arbitrage pricing theory (APT) over
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