套利定价模型 target=_blank（Arbitrage pricing model target=_blank）.docVIP

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套利定价模型 target=_blank（Arbitrage pricing model target=_blank）.doc

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套利定价模型 pricing model target=_blank）

套利定价模型 target=_blank（Arbitrage pricing model target=_blank） Fifth section arbitrage pricing model In the first few sections, we describe the capital asset pricing model, and explain and deduce the capital market line and the securities market line and the corresponding economic significance from the feasible region of the portfolio to the effective boundary to the best combination. The derivation and analysis of all models and curves are based on the expected return of securities or portfolio E (R) and risk, which is often called the mean variance analysis, and has strong assumptions about investors and markets. This section of the arbitrage pricing model with the factors affecting the rate of return as explanatory variables, the definition of investor behavior model, the assumption of relatively loose, only requires investors to higher levels of wealth preference than the low level of wealth preference. The main author of the arbitrage pricing model is Stephen.A. Ross (Ross.S.A), in his December 1976 economic theory magazine published the capital asset pricing theory and arbitrage and others. The financial risk and return in the book risk, return and arbitrage has become a large number of researchers cited the main literature. Arbitrage pricing model The key point of the arbitrage pricing model is that the yield of securities is linearly related to a set of factors that affect it, so there is a formula: Of which: the yield of the I type of securities is the j factor affecting the yield of securities. The sensitivity of the yield of the securities I to the factor j is a random difference: If the R=1 in (11.5.1) is expressed as a single factor model, such as the Sharpers single exponential model: If R=2, Two factor model: In the above formula, F1 and F2 indicate factors that have a significant impact on the yield of securities, such as the growth rate of GNP and inflation rate. We will take the two factor model as an example. (I) portfolio of factor securities If the