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On a Semigroup Approach to No-arbitrage Pricing Theory
1999We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already ...
E. BARUCCI, F. GOZZI, VESPRI, VINCENZO
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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
Zhenyu Wang, Gur Huberman
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1987
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
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The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
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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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OPTION PRICING AND THE ARBITRAGE PRICING THEORY
Journal of Financial Research, 1986AbstractThis 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
Shih‐Kang Chang, Latha Shanker
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Arbitrage Pricing Theory in Ergodic Markets
SSRN Electronic Journal, 2017Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, but empirical applications of APT are, nowadays, based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces in a natural way.
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The Arbitrage Pricing Theory (APT)
Contributions To Finance and AccountingPeter Brusov +2 more
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A Semiautoregression Approach to the Arbitrage Pricing Theory
The Journal of Finance, 1993ABSTRACTThis paper developes a semiautoregression (SAR) approach to estimate factors of the arbitrage pricing theory (APT) that has the advantage of providing a simple asymptotic variance‐covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors.
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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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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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