Some comments on the APT

DOI10.1088/1469-7688/2/5/307MaRDI QIDQ4646801zbMATH OpenOpenAlexFDO

Authors Haim Reisman

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/2/5/307

zbMATH Keywords

arbitrage pricing theory

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Recommendations

• On tests of the arbitrage pricing theory
• A General Approach to the Arbitrage Pricing Theory (APT)
• On the arbitrage pricing theory
• Deriving the arbitrage pricing theory when the number of factors is unknown
• Estimating the arbitrage pricing theory with observed macro factors

Cites work

• A General Approach to the Arbitrage Pricing Theory (APT)
• A simple approach to arbitrage pricing theory
• A unified beta pricing theory
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• On the arbitrage pricing theory

Cited in

(1)

• The incompleteness problem of the APT model

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