The Small Noise Arbitrage Pricing Theory

This paper presents a small-noise version of the Arbitrage Pricing Theory (APT) which allows us to interpret the approximate linearity of the risk premia in terms of factor exposures for a fixed number of assets. The approximation becomes more accurate as the noise of the system decreases, even though the number of assets stays fixed.

MoreLess

Year of publication:	1999-04-01
Authors:	Satchell, Steve
Institutions:	Finance Discipline Group, Business School
Subject:	arbitrage pricing theory \| linear factor models

More details

Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 4
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005027626