Arbitrage Pricing Theory (APT) Formula and How It's Used - Investopedia
网页2024年6月6日 · Arbitrage pricing theory (APT) is a multi-factor asset pricing model based on the idea that an asset's returns can be predicted using the linear relationship between the asset’s expected return...
Arbitrage pricing theory - Wikipedia
网页In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial assets.
套利定价理论 Arbitrage Pricing Theory (APT) - 知乎 - 知乎专栏
网页套利定价理论 Arbitrage Pricing Theory (APT) 本文介绍APT. 1. 多因子模型 (Multi-factor models) 多因子模型是建立在单指数模型基础上的统计学模型. 它断言对于任意风险资产i的回报率 r_i 都有如下结论成立: r_i =\alpha_i +\beta_ {i1}I_1 +\beta_ {i2}I_2+\ldots+\beta_ {in}I_n+\varepsilon_i, 其中 ...
套利定价理论 - MBA智库百科
网页2017年11月1日 · 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,不同的是APT的基础是 因素模型。 套利定价理论认为， 套利 行为是现代有效率市场（即市场均衡价格）形成的一个决定因素。 如果市场未达到均衡状态的话，市场上就会存在 无风险套利 机会. 并且用多个因素来解释 风险资产 收益，并根据无套利原则，得到风险资产均衡收益与多个因素之间存在 (近似的)线性关 …
Arbitrage Pricing Theory - Defintion, Formula, Example
网页The Arbitrage Pricing Theory (APT) is a theory of asset pricing that holds that an asset’s returns can be forecasted with the linear relationship of an asset’s expected returns and the macroeconomic factors that affect the asset’s risk. The theory was created in 1976 by American economist, Stephen Ross.
What Is the Arbitrage Pricing Theory (APT)? - Finance Strategists
网页2023年7月12日 · What Is the Arbitrage Pricing Theory (APT)? Arbitrage Pricing Theory is a financial model that explains the expected returns on assets or securities by considering multiple sources of systematic risk. It posits that the return on any given asset is a linear function of various independent factors, which represent the systematic risks in the market.
套利定价理论 - 维基百科，自由的百科全书
网页2023年1月1日 · 套利定价理论 （英语： Arbitrage Pricing Theory，缩写： APT），为 金融 领域中的一个 资产定价 理论，由经济学家 斯蒂芬·罗斯 于1976年提出。 APT认为金融资产的预期收益可以模拟为各种因素或理论市场指数的线性函数，对每个因素变化的敏感性则会透过因子特定的 Beta系数 表达。 透过此模型导出的回报率将用于对资产进行正确定价，即资产价格应等于以模型隐含的利率 贴现 的预期期末价格。 如果价格出现分歧， 套利 应该使其 …
Arbitrage Pricing Theory: It's Not Just Fancy Math - Investopedia
网页2021年11月2日 · Arbitrage pricing theory (APT) is an alternative to the capital asset pricing model (CAPM) for explaining returns of assets or portfolios. It was developed by economist Stephen Ross in the...
Arbitrage Pricing Theory - SpringerLink
网页2015年7月2日 · The arbitrage pricing theory (APT) was developed primarily by Ross (1976a, b). It is a one-period model in which every investor believes that the stochastic properties of returns of capital assets are consistent with a factor structure.
Arbitrage Pricing Theory (APT) - Definition, Formula, Example
网页2024年8月21日 · The arbitrage pricing theory model holds the expected return of a financial asset as a linear relationship with various macroeconomic indices to estimate the asset price. A beta coefficient represents the change in sensitivity of the price to each factor.
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