Zur empirischen Identifikation von Risikofaktoren bei Modellen der Arbitrage Pricing Theory (On the empirical identification of risk factors in arbitrage pricing models)

OR Spectrum ◽  
1998 ◽  
Vol 20 (2) ◽  
pp. 123-134
Author(s):  
Alfred Hamerle ◽  
Daniel Rösch
Keyword(s):  
Risk Factors ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Pricing Models ◽  
Pricing Theory

scholarly journals High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model

2020 ◽  
Vol 10 (04) ◽  
pp. 2050017
Author(s):  
Liao Zhu ◽  
Sumanta Basu ◽  
Robert A. Jarrow ◽  
Martin T. Wells
Keyword(s):  
Risk Factors ◽  
Asset Pricing ◽  
Factor Model ◽  
Financial Data ◽  
High Dimensional ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

The paper proposes a new algorithm for the high-dimensional financial data — the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the convention that the number of risk-factors is small. We first obtain an adaptive collection of basis assets and then simultaneously test which basis assets correspond to which securities, using high-dimensional methods. The AMF model, along with the GIBS algorithm, is shown to have a significantly better fitting and prediction power than the Fama–French 5-factor model.

scholarly journals Differentiating Bullish From Bearish Factors In The Arbitrage Pricing Theory

2010 ◽  
Vol 3 (9) ◽  
pp. 13-16
Author(s):  
Joseph M. Cheng
Keyword(s):  
Risk Factors ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Pricing Theory ◽  
Intuitive Manner ◽  
The Way

This is a teaching note on a proposed approach that will correct a common flaw in the way the return-generating process within the APT framework is illustrated in textbooks.  The problem can be resolved by dichotomizing the risk factors into two kinds.  Based on this approach, the author eliminated the main source of confusion and developed an alternative way to teaching this important financial theory in a comprehensive and intuitive manner.

scholarly journals PENGUKURAN KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) (Studi Kasus : Saham-saham LQ45)

2018 ◽  
Vol 7 (4) ◽  
pp. 419-430 ◽  
Author(s):  
Dedi Baleo Pasaribu ◽  
Di Asih I Maruddani ◽  
Sugito Sugito
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

Investing is placing money or funds in the hope of obtaining additional or specific gains on the money or funds. The capital market is one place to invest in the financial field of interest to investor. This is because the capital market gives investor the freedom to choose securities traded in the capital market in accordance with the wishes of investor. Investor are included in risk averter, that means investor will always try to avoid risk. To avoid risk, investor try to diversify their investment. Diversification concept commonly used is portfolio. To maximize the return to be earned, the investor will invest his funds into several stocks in order to earn a greater profit. Capital Asset Pricing Model (CAPM) is a balance model that describes the relation of a risk with return more simply because it uses only one variable to describe the risk. Arbitrage Pricing Theory (APT) is a balance model that used many risk variables to see the relation of risk and return. With both models will be obtained a portfolio with each constituent stock is four stocks selected from 45 stocks in the LQ45 index. To find out which portfolio is the best performed a performance analysis using the Sharpe index. From the measurement result, it is found that the best portfolio is the CAPM portfolio with composite stock is PTBA with investment weight of 0.467%, BUMI with investment weight of 12.855%, ANTM with investment weight of 53.077% and PPRO with investment weight of 33.601%. Keywords: LQ45, portfolio, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory                       (APT), Sharpe Index 

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