학술저널
An Exact Pricing Error of the APT within the Arbitrage Framework
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 12 No.2
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1999.06157 - 171 (14 pages)
- 0
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We derive an exact deviation for an individual asset from APT Pricing in a finite economy within the arbitrage framework. This deviation is the product of a tradeoff between mean and variance of the efficient arbitrage portfolio, the asset's idiosyncratic variance and the proportion of this arbitrage portfolio represented by the asset. We show that the deviation becomes negligible in an infinite economy if the efficient portfolio is well diversified.
Abstract
Ⅰ. Introduction
Ⅱ. Arbitrage Pricing Theory
Ⅲ. An Exact Pricing Error for Each Asset in a Finite Economy
Ⅳ. The APT in an Infinite Economy
Ⅴ. Summary
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