第10章 套利定价理论与多因素模型.pptVIP

;Single Factor Model单因素模型;Single Factor Model Equation单因素模型公式;Multifactor Models多因素模型;Multifactor Model Equation多因素模型公式;Multifactor SML Models多因素证券市场线的模型;Arbitrage Pricing Theory套利定价理论 ;APT Well-Diversified Portfolios套利定价理论及充分分散的投资组合;Figure 10.1 Returns as a Function of the Systematic Factor作为系统因素函数的收益;Figure 10.2 Returns as a Function of the Systematic Factor: An Arbitrage Opportunity出现了套利机会;Figure 10.3 An Arbitrage Opportunity套利机会;Figure 10.4 The Security Market Line证券市场线;APT applies to well diversified portfolios and not necessarily to individual stocks 套利定价理论可应用于充分分散的投资组合,不必用于单个股票 With APT it is possible for some individual stocks to be mispriced - not lie on the SML 套利定价理论使一些单个股票被错误标价成为可能,而不依靠证券市场线 APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio APT更普遍,因为它可以不经市场投资组合假设而达到预期回报和贝塔的关系 APT can be extended to multifactor models APT能够拓展到多因素模型;Multifactor APT多因素套利定价理论;Two-Factor Model双因素模型;Example of the Multifactor Approach以多因素方法为例;Another Example:Fama-French Three-Factor Model又如:法玛-弗伦奇三因素模型;The Multifactor CAPM and the APM多因素资本资产定价和套利定价模型;此课件下载可自行编辑修改，供参考！ 感谢您的支持，我们努力做得更好！