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arbitrage pricing theory

套利定价理论

...套利定价理论(Arbitrage Pricing Theory，简称APT) 套利定价理论APT(Arbitrage Pricing Theory) 是CAPM的拓广,由APT给出的定价模型与CAPM一样,都是均衡状态下的模型,不同的...

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套利定价模型

套利定价模型（Arbitrage Pricing Theory）是Ross于1976年提出的，与资本资产定价模型类似，也是一个决定资产价格的均衡模型，APM认为风险性资产的收益率不但受市场风险的影...

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理论

...风险 2，β的直观含义 3，证券特征线 4，证券组合的β计算 rm ri 第四节套利定价理论套利定价理论（Arbitrage Pricing Theory）是Stephen Ross于1976年提出的一种市场均衡理论。

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短语

the arbitrage pricing theory 套利评价理论 ; 套利定价理论

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经济学

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abstract: In finance, arbitrage pricing theory (APT) is a general theory of asset pricing that holds that the expected return of a financial asset can be modeled as a linear function of various macro-economic factors or theoretical market indices, where sensitivity to changes in each factor is represented by a factor-specific beta coefficient. The model-derived rate of return will then be used to price the asset correctly - the asset price should equal the expected end of period price discounted at the rate implied by the model.

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In this paper, the arbitrage portfolio model is directly obtained based on the description of arbitrage Pricing Theory when there are arbitrage opportunities.

本文根据套利定价理论的基本描述，直接得到存在套利机会的情况下求解套利组合的模型。

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Through the stochastic discount factor model, it is easy to understand some classical problems of modern finance, such as arbitrage pricing theory and risk neutral pricing, etc.

现代金融学的许多经典问题，如套利定价原理以及风险中性定价等都可以用随机折现因子模型理解，随机折现因子模型是资产定价模型的统一框架。

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Whether we can not use capital pricing model, then avoid joint hypothesis in the empirical process, arbitrage the kernel of finance theory becomes the breach of the problem.

实证过程中是否可以不使用资产定价模型，进而回避联合检验，金融中的核心理论——套利成为解决该问题的突破口。

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