APT与CAPM是标准金融理论的两大基本模型.docVIP

APT与CAPM是标准金融理论的两大基本模型，它们既有联系又有区别，现总结如下：???APT与CAPM的本质区别在于CAPM是一种均衡资产定价模型，而APT不是均衡定价模型。两者虽然模型的线性形式相同，但建模思想不同，CAPM模型是建立在市场均衡的基础上，以市场投资组合存在为前提。而APT模型是建立在无套利均衡分析基础上，出发点是通过少数投资者构造大额无风险套利头寸，迫使市场重建均衡，以消除市场无风险套利机会。不需过多的假设。??具体：???1、CAPM需要假设投资者为风险的规避者，且具有单调凹进向上的无差异效用函数，且效用为收益率的函数，而APT无此要求；??2、CAPM需要存在一个有效率的市场投资组合(Market?Portfolio)，而APT无此需要；??3、CAPM要求每一位投资者必须对未来的看法一致，亦即必须有相同的预期，而APT不需这种假定；??4、CAPM假设市场没有交易成本、税收，甚至没有通货膨胀，而APT无此假设。????另，APT不考虑投资者风险偏好，只假设投资者非厌足。APT和CAPM又不是博弈，没有关于投资者人数的假设。APT中只假设市场上的证券的种类远远大于因子的数目k。???联系在APT单因子模型中，如果选择的因子I并非市场投资组合而得到单因子APT模型；而CAPM得到的单因子模型为证券市场线,如果因子I与市场投资组合的收益率完全相关且同方差，则可以得出?两者相同，这时可以以I因子替代市场投资组合。可见，CAPM是APT的特例，而APT是CAPM的推广与发展。 APT and the CAPM is the standard financial theory two basic models, they are both connections and differences, are summarized as follows: ???The essential difference between APT and the CAPM is that CAPM is an equilibrium asset pricing model, rather than equilibrium pricing model APT. Although both the linear form of the same model, but modeling different ways of thinking, CAPM model is built on the basis of market equilibrium to exist is the premise of the market portfolio. The APT model is built on the basis of no-arbitrage equilibrium analysis, the starting point is constructed by a small number of large investors, risk-arbitrage positions, forcing the market re-balanced to eliminate market risk-free arbitrage opportunities. Without too many assumptions. ??Specific: ??1, CAPM to assume that risk averse investors, and has no difference between upward monotone concave utility function and utility as a function of rate of return, while the APT is no such requirement; ??2, CAPM requires the existence of an efficient market portfolio (Market Portfolio), the APT is not necessary; ??3, CAPM requires each investor must share the view of the future, that must have the same expectations and APT without this assumption; ??4, CAPM assume that the market is not transaction costs, taxes, or no inflation, and APT is no