第十一章节 套利定价理论资料.pptVIP

Chapter Outline 11.1 Factor Models: Announcements, Surprises, and Expected Returns 11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions Arbitrage Pricing Theory Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit. Since no investment is required, an investor can create large positions to secure large levels of profit. In efficien