ris文档新kandreturn(投资解析跟投资组合管理).ppt

LecturePresentationSoftwarepanyInvestmentAnalysisandPortfolioManagementSeventhEditionby&–MultifactorModelsofRiskandReturnQuestionstobeanswered:Whatisthearbitragepricingtheory(APT)andwhatareitssimilaritiesanddifferencesrelativetotheCAPM?paredtotheCAPM?HowdoyoutesttheAPTbyexamininganomaliesfoundwiththeCAPM?Chapter9-MultifactorModelsofRiskandReturnWhataretheempiricaltestresultsrelatedtotheAPT?WhydosomeauthorscontendthattheAPTmodelisuntestable?WhataretheconcernsrelatedtothemultiplefactorsoftheAPTmodel?Chapter9-MultifactorModelsofRiskandReturnWhataremultifactormodelsandhowarerelatedtotheAPT?Whatarethestepsnecessaryindevelopingausablemultifactormodel?Whatarethemultifactormodelsinpractice?Howisriskestimatedinamultifactorsetting?ArbitragePricingTheory(APT)CAPMiscriticizedbecauseofthedifficultiesinselectingaproxyforthemarketportfolioasabenchmarkAnalternativepricingtheorywithfewerassumptionswasdeveloped:ArbitragePricingTheoryArbitragePricingTheory-APTThreemajorassumptions: ThatWereNotRequiredbyAPTAPTdoesnotassumeAmarketportfoliothatcontainsallriskyassets,andismean-varianceefficientNormallydistributedsecurityreturnsQuadraticutilityfunctionArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiodRiArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforassetiRiEiArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforasseti=reactioninasseti’monfactorRiEibik