Chpt11-5new.pptVIP

Chapter 11  Equilibrium In Capital Markets： 3、Arbitrage Pricing Theory 11.1　　Arbitrage and No Arbitrage Equilibrium 11.1　　Arbitrage and No Arbitrage Equilibrium Arbitrage - ——不花钱就能挣到钱 案例： 在美国和墨西哥边境有一小镇，一半在美国境内一半在墨西哥境内。两边的人谁也不服谁，于是就有了一个奇怪的现象：在小镇美国这方，1比索只能当90美分用，而在小镇墨西哥一方，1美元也只能当90墨分用。小镇两边各有一个啤酒馆。 问题：一个聪明的年轻人 ，如何利用这个机会在小镇上免费喝酒？ 11.1　　Arbitrage and No Arbitrage Equilibrium Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit——不花钱就能挣到钱. No risk. Self-financing自融资:通过减少某些证券的持有量，来增加对其他资产的持有量。 Arbitrage Example from Text  Current Expected Standard Stock Price$ Return% Dev.% A 10 25.0 29.58 B 10 20.0 33.91 C 10 32.5 48.15 D 10 22.5 8.58 Arbitrage Portfolio Mean S.D. Correlation Portfolio A,B,C 25.83 6.40 0.94 D 22.25 8.58 Arbitrage Action and Returns 11.1　　Arbitrage and No Arbitrage Equilibrium A single investor would take large positions……the arbitrage opportunity will be eliminated. Rational investors will want to take infinitely large positions in arbitrage portfolios regardless of their degree of risk aversion. Only a few investors need to become aware of arbitrage opportunities because of the large volume of trades in which they will engage. In efficient markets,market prices will move to rule out arbitrage opportunities . When securities are priced so that there are no risk-free arbitrage opportunities ,we say that they satisfy the no-arbitrage condition. 11.2 APT Well-Diversified Portfolios Single-factor model(并非均衡模型)+no-arbitrage condition =APT（均衡定价模型） APT Well-Diversified Portfolios APT Individual Assets 11.2.1 Well-Diversified Portfolios Portfolios : rP = E (rP) + bPF + eP F = some factor 11.2.1 Well-Diversified Portfolios For a well-diversified portfolio: rP = E (rP) + bPF Comparing a Portfolio with an Individual Security 11.2.2 Betas and Expected Returns We