Huberman, Gur; Wang, Zhenyu - Federal Reserve Bank of New York - 2005
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …