Results 291 to 300 of about 173,527 (356)

Arbitrage Pricing Theory

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 ...
openaire   +2 more sources

Arbitrage Pricing Theory in Ergodic Markets

SSRN Electronic Journal, 2017
Traditional 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.
openaire   +1 more source

On the arbitrage pricing theory

Economic Theory, 1991
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gilles, Christian, LeRoy, Stephen F.
openaire   +1 more source

The Arbitrage Pricing Theory and Supershares

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.
openaire   +1 more source

OPTION PRICING AND THE ARBITRAGE PRICING THEORY

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
Shih‐Kang Chang, Latha Shanker
openaire   +1 more source

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
openaire   +1 more source

Die Arbitrage Pricing Theory

1995
Die Arbitrage Pricing Theory (APT) wurde von Ross (1976, 1977) als testbare Alternative zum Capital Asset Pricing Model (CAPM) entwickelt und war wiederholt Gegenstand zahlreicher theoretischer4 und empirischer5 Arbeiten. Alle Modellvarianten der APT basieren auf einer Grundannahme: die Renditen riskanter Wertpapiere werden durch einen stochastischen ...
openaire   +1 more source

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
openaire   +1 more source

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.
openaire   +1 more source

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 ...
openaire   +2 more sources