Results 261 to 270 of about 3,734 (297)

The Arbitrage Theory of Capital Asset Pricing

Journal of Economic Theory, 1976
Examines the arbitrage model of capital asset pricing as an alternative to the mean variance capital asset pricing model introduced by Sharpe, Lintner and Treynor. Overview of the arbitrage theory; Role of the arbitrage model in explaining phenomena observed in capital markets for risky assets; Influence of the presence of noise on the pricing relation.
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Uncertainty and the arbitrage pricing theory

Atlantic Economic Journal, 1997
This 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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A General Approach to the Arbitrage Pricing Theory (APT)

Econometrica, 1988
The 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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Arbitrage Pricing Theory

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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Perspective on Arbitrage Pricing Theory

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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On tests of the arbitrage pricing theory

OR Spektrum, 1984
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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Is the Arbitrage Pricing Theory Dead?

SSRN Electronic Journal, 2007
Is 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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Some Empirical Tests of the Theory of Arbitrage Pricing

The Journal of Finance, 1983
ABSTRACTWe estimate the parameters of Ross's Arbitrage Pricing Theory (APT). Using daily return data during the 1963–78 period, we compare the evidence on the APT and the Capital Asset Pricing Model (CAPM) as implemented by market indices and find that the APT performs well.
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Testability of the arbitrage pricing theory by neural network

1990 IJCNN International Joint Conference on Neural Networks, 1990
The arbitrage pricing theory (APT) offers an alternative to the traditional asset pricing model in finance. In almost all of the literature, a statistical methodology called factor analysis is used to test or estimate the APT model. The major shortcoming of this procedure is that it identifies neither the number nor the definition of the factors that ...
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