多因素模型与套利定价理论（PPT32页).pptxVIP

多因素模型和套利定价理论;;1. 多因素模型;;;;;2. 套利定价理论;;;;APT 充分分散化的资产组合;Figure 10.1 Returns as a Function of the Systematic Factor;Figure 10.2 β值相等;Figure 10.3 β值不相等;;;;Figure 10.4 The Security Market Line;4. 多因素套利定价理论;多因素资本资产定价模型;Two-Factor Model;Multifactor Model Equation;Multifactor SML Models;Arbitrage Pricing Theory;APT Well-Diversified Portfolios;APT applies to well diversified portfolios and not necessarily to individual stocks With APT it is possible for some individual stocks to be mispriced - not lie on the SML APT is more general in that it gets to an expected return and beta relationship without