Arbitrage pricing theory
By: Gur Huberman and Zhenyu Wang.
Contributors: Wang, Zhenyu.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 216; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 216.
Publisher: Federal Reserve Bank of New York
Published: 2005
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Arbitrage -- Mathematical models.; Pricing -- Mathematical models.
Description: "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"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 9/1/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.