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Investors reward countries for participating in climate agreements. [PDF]
Nat CommunSaxena K, Singh M.
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Equilibrium bifurcation and extreme risk in the EU carbon futures market. [PDF]
HeliyonMi J, Yang X, Li J, Yang Z.
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OPTION PRICING AND THE ARBITRAGE PRICING THEORY [PDF]
Journal of Financial Research, 1986 AbstractThis paper applies the arbitrage pricing theory to option pricing. Under certain distribution assumptions or the assumption that there is only one common factor, the underlying asset of an option is the sole risky factor that explains its expected return. Based upon this relationship, a new and simple option‐pricing formula is derived, and some
Jack S. K. Chang, Latha Shanker
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On the arbitrage pricing theory
Economic Theory, 1991zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stephen F. LeRoy, Christian Gilles
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The Arbitrage Pricing Theory and Supershares [PDF]
The Journal of Finance, 1989 ABSTRACTIn a single‐period model with options on the market portfolio, linear factor pricing holds if and only if the variance of the market conditional on the factors is zero. There is no need for factors other than nonlinear functions of the market.
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A simple approach to arbitrage pricing theory [PDF]
Journal of Economic Theory, 1982 The 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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2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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An Empirical Investigation of the Arbitrage Pricing Theory
The Journal of Finance, 1980ABSTRACTEmpirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using data for individual equities during the 1962–72 period, at least three and probably four priced factors are found in the generating process of returns. The theory is supported in that estimated expected returns depend on estimated factor loadings, and variables
Roll, Richard, Ross, Stephen A.
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Perspective on Arbitrage Pricing Theory [PDF]
SSRN Electronic Journal, 2011 The 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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