现代资产组合理论和资本资产定价模型分析.pptVIP

Factor Models and Equilibrium The relationship between the parameters ai and bi of the one-factor model and the single parameter ?i of the CAPM. If the expected returns are determined according to the CAPM and actual returns are generated by the one-factor market model, then the above equations must be true. Arbitrage Pricing Theory APT is a theory which describes how a security is priced just like CAPM. Moving away from construction of mean-variance efficient portfolio, APT instead calculates relations among expected rates of return that would rule out riskless profits by any investo