多因素模型和套利定价理论课件(PPT 32页)

多因素模型和套利定价理论
1. 多因素模型
2. 套利定价理论
APT 充分分散化的资产组合
Figure 10.1 Returns as a
Function of the Systematic Factor
Figure 10.2  β值相等
Figure 10.3 β值不相等
Figure 10.4 The Security Market Line
4. 多因素套利定价理论
多因素资本资产定价模型
Two-Factor Model
Multifactor Model Equation
Multifactor SML Models
Arbitrage Pricing Theory
APT & Well-Diversified Portfolios
APT and CAPM Compared
Multifactor APT
Example of the Multifactor Approach
Another Example:Fama-French Three-Factor Model
The Multifactor CAPM and the APM
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