Results 241 to 250 of about 111,755 (296)

Some Remarks on Arbitrage Pricing Theory

Recent Developments in Mathematical Finance, 2001
AbstractIn this note we report main results in a recent paper by the authors, in which we established a version of Kramkov's optional decomposition theorem in the setting of equivalent martingale measures and using this theorem we clarified some basic concepts and results in arbitrage pricing theory: superhedging, fair price, replicatable contingent ...
Jianming Xia, Jia-An Yan
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Methodology of Arbitrage Pricing Theory

1991
The 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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A simple approach to arbitrage pricing theory

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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Recent Models: Arbitrage Pricing Theory

1991
The CAPM discussed in Chapter 4 was an attempt to put some substance on the generally accepted notion that risk was important in determining the required rate of return for a firm. Roll and Ross suggest that the appeal of the CAPM is strong because …it is compatible with the single most widely-acknowledged empirical regularity in asset returns, their
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An Empirical Investigation of the Arbitrage Pricing Theory

, 1980
Richard Roll, S. Ross
semanticscholar   +1 more source

International Arbitrage Pricing Theory

The Journal of Finance, 1983
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Test of the Arbitrage Pricing Theory in the Egyptian Stock Exchange

, 2017
Khairy Elgiziry, M. Awad
semanticscholar   +1 more source

The Arbitrage Pricing Theory Model

2023
James W. Kolari, Seppo Pynnönen
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A Test of the Arbitrage Pricing Theory in the Bombay Stock Market

, 2015
Ashutosh Verma, C. Kumar
semanticscholar   +1 more source

International Arbitrage Pricing Theory: Discussion

The Journal of Finance, 1983
Allan W. Kleidon, Paul Pfleiderer
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