第十一章套利定价理论.pptVIP

Chapter Outline11.1 Factor Models: Announcements, Surprises, and Expected Returns11.2 Risk: Systematic and Unsystematic11.3 Systematic Risk and Betas11.4 Portfolios and Factor Models11.5 Betas and Expected Returns11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory11.7 Parametric Approaches to Asset Pricing11.8 Summary and Conclusions第一页，共二十七页。 Arbitrage Pricing TheoryArbitrage - 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 efficient