Arbitrage pricing theory research papers

Another attempt to modify the CAPM involves adjusting it for temporality. With temporal modeling, investors consider the consequences of decisions over multiple periods, instead of over the next period only, as the CAPM assumes. The resulting Consumption Capital Asset Pricing Model (CCAPM) is much more complex than its non-temporal counterpart. It has been shown to work successfully in situations where the normal CAPM has failed, most notably for forward exchange rates and for futures markets. Many other adaptations of the CAPM are in use. It is a validation of the widespread applicability of the CAPM that so many individuals have improved, transformed, or modified it to fit specific situations.

Nash equilibrium, named after Nobel winning economist, John Nash , is a solution to a game involving two or more players who want the best outcome for themselves and must take the actions of others into account. When Nash equilibrium is reached, players cannot improve their payoff by independently changing their strategy. This means that it is the best strategy assuming the other has chosen a strategy and will not change it. For example, in the Prisoner's Dilemma game, confessing is a Nash equilibrium because it is the best outcome, taking into account the likely actions of others.

wobei: R f = risikoloser Zinssatz, E (R Fj ) = erwartete Rendite bez. des Faktors j , j = 1, . . n. In der Renditerwartung E (R i ) spiegelt sich lediglich das systematische Risiko (Marktrisiko) wider. Das unsystematische Risiko (unternehmensspezifische Risiko), repräsentiert durch den Störfaktor e i , gilt als wegdiversifiziert.

3. Praktische Bedeutung: Die Arbitrage Pricing Theory (APT) trägt der empirisch beobachtbaren Erkenntnis Rechnung, dass verschiedene Einflussfaktoren zu den Determinanten von Wertpapierrenditen zählen. Diese mehrdimensionale Risikomessung und einige gegenüber dem Capital Asset Pricing Model weniger rigide Modellannahmen wie die Nichtexistenz einer Verteilungshypothese der Wertpapierrenditen erleichtern die praktische Anwendung. Die große Schwäche der Arbitrage Pricing Theory (APT) besteht in der schwierigen Identifizierbarkeit der Risikofaktoren, was für die ökonomische Interpretierbarkeit von entscheidender Bedeutung ist. Problematisch ist . auch die Annahme des vollkommenen Kapitalmarktes.

Arbitrage pricing theory research papers

arbitrage pricing theory research papers

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