Arbeitspapier
Arbitrage pricing theory
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. The APT, however, does not preclude arbitrage over dynamic portfolios. Consequently, applying the model to evaluate managed portfolios is contradictory to the no-arbitrage spirit of the model. An empirical test of the APT entails a procedure to identify features of the underlying factor structure rather than merely a collection of mean-variance efficient factor portfolios that satisfies the linear relation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 216
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
arbitrage
asset pricing model
factor model
Arbitrage Pricing
Capital Asset Pricing Model
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Huberman, Gur
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Huberman, Gur
- Federal Reserve Bank of New York
Entstanden
- 2005
Ähnliche Objekte (12)
Arbitrage pricing theory (APT) e variáveis macroeconômicas
Nonparametric option pricing with no-arbitrage constraints
Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Empirical evaluation of asset pricing models: Arbitrage and pricing errors over contingent claims
The arbitrage Pricing Theorem with Non Expected Utility Preferences
Dynamic arbitrage-free asset pricing with proportional transaction costs
Factor Structures and Arbitrage Pricing in Large Asset Markets
Some economic remarks on arbitrage theory
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Exact arbitrage, well-diversified portfolios and asset pricing in large markets
Arbitrage
Arbitrage pricing simplified
Arbitrage pricing theory (APT) e variáveis macroeconômicas
Nonparametric option pricing with no-arbitrage constraints
Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Empirical evaluation of asset pricing models: Arbitrage and pricing errors over contingent claims
The arbitrage Pricing Theorem with Non Expected Utility Preferences
Dynamic arbitrage-free asset pricing with proportional transaction costs
Factor Structures and Arbitrage Pricing in Large Asset Markets
Some economic remarks on arbitrage theory
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Exact arbitrage, well-diversified portfolios and asset pricing in large markets
Arbitrage
Arbitrage pricing simplified
Arbitrage pricing theory (APT) e variáveis macroeconômicas
Nonparametric option pricing with no-arbitrage constraints
Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Empirical evaluation of asset pricing models: Arbitrage and pricing errors over contingent claims
The arbitrage Pricing Theorem with Non Expected Utility Preferences
Dynamic arbitrage-free asset pricing with proportional transaction costs
Factor Structures and Arbitrage Pricing in Large Asset Markets
Some economic remarks on arbitrage theory
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Exact arbitrage, well-diversified portfolios and asset pricing in large markets
Arbitrage