The problem of estimating the Arbitrage Pricing Theory(APT) model based on non-orthogonal factor condition was discussed,with the APT model written in the form of multivariate regression,a sufficient condition for the existence of the Nonlinear Seemingly Unrelated Regressiom Estimate(NSURE) and Maximum Likelihood Estimate(MLE) through the maximization stepwise was given.
考虑非正交因子条件下 ,套利定价理论 (APT)模型的参数估计问题 ,把模型写为一个多元回归的形式 ,采用逐步最优化方法 ,给出了非线性看似无关回归估计 (NSURE)和最大似然估计 (MLE)存在的充分条件 ;以及当其存在时 ,它们的精确形式和相应的简化形式 。
In this paper, the arbitrage portfolio model is directly obtained based on the description of Arbitrage Pricing Theory when there are arbitrage opportunities.
本文根据套利定价理论的基本描述,直接得到存在套利机会的情况下求解套利组合的模型。
In this paper, we simplify Markowitz′s model for portfolio investment under the condition of no short sale with the help of arbitrage pricing theory (APT), present a multifactor model for portfolio investment decision under the condition of no short sale, and study its solution and its characteristics.
利用套利定价理论(APT)改进不允许卖空的Markowitz的证券组合投资决策模型,导出了不允许卖空的多因素证券组合投资决策模型,并研究了该模型的解及其性
The factors which obviously influenced the stock return in Chinese stock market are researched from using the arbitrage pricing theory(APT) and factor model in this paper.
主要运用套利定价理论和建立因素模型研究我国股票回报率及相关因素,为股市的分析提供一个新的工具。
based on the Modern Portfolio Theory and the pricing Arbitrage theory(APT),The Portfolio decision-making model,with the combination of a multi-factor GARCH effects,has been built,then,with actual data,has been used for application.
基于现代资产组合理论和套利定价理论(APT),构建了具有因子多元GARCH效应的组合投资决策模型,并结合实际数据对模型进行了应用。
c. Arbitrage Pricing Theory
c. 套利定价理论
A Case Study of Multi-factor APT Model Used in Shenzhen Stock Market;
套利定价理论在深圳股市的实证研究
An Empirical Investigation of APT Model Being Used in Shenzhen Stock Market;
套利定价理论在深圳股市的实证检验
Chapter three analyzes the Arbitrage Pricing Theory (APT) of risk assets.
第三章分析了风险资产的套利定价理论，对套利定价理论的模型进行了推导。
A Study on the Completeness of Arbitrage Pricing Theory
对无套利定价理论中的完备性问题的研究
Optimal portfolio strategy of generation company based on the arbitrage pricing theory;
基于套利定价理论的发电商最优交易组合策略
Application of Arbitrage Pricing Theory and Insurance Actuary Methods to Option Pricing;
套利定价理论及保险精算方法在期权定价中的应用
Research on Instruments of Quantitative Management of Securities Investment Risks--APT and Its Application;
证券投资风险的量化管理工具研究——套利定价理论及其运用
Empirical Investigation of APT and Research of Application in Portfolio Investment Decision
套利定价理论的检验及在证券组合投资决策中的应用研究
An Empirical Study on Arbitrage Pricing Theory in China s Securities Market--Basing on Near Key Component Analysis Method;
套利定价理论在我国证券市场的实证研究——基于渐近主成分分析方法
A Comparative Analysis of Capital Asset Pricing Model and Arbitrage Pricing Mode;
资本资产定价理论模型与套利定价模型比较分析
Applied Research on Pricing Method of Chinese Stock Index Futures Based on Arbitrage
基于套利方法的股指期货定价理论在中国的应用性研究
Theoritical Significance and Applicable Value of Principle "No-Arbitrage Equilibrium;
无套利均衡原理的理论意义和应用价值
Analysis and application of principle "No-Arbitrage Equilibrium" in pricing;
浅析无套利均衡分析原理及其在定价中的应用
Study on Theory and Application of Commodity Futures Spread Trading;
商品期货价差套利投资决策理论与应用研究
Hedging price of no-arbitrage contingent claims under transaction costs;
有交易费的未定权益无套利套期保值定价
A STUDY ON THE PROPERTY OF BINOMIAL TREE OPTION PRICING MODEL IN THE NO-ARBITRAGE MARKET;
关于无套利市场的二叉树期权定价模型性质的讨论
THE NO-ARBITRAGE PRICING INTERVAL OF CONTINGENT CLAIMS UNDER TRANSACTION COSTS;
有交易费的未定权益无套利定价区间