Some comments on the APT

DOI10.1088/1469-7688/2/5/307zbMATH Open1405.91764OpenAlexW2059750123MaRDI QIDQ4646801FDOQ4646801

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

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

zbMATH Keywords

arbitrage pricing theory

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cites Work

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

Cited In (1)

• The incompleteness problem of the APT model

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