套利定价理论

证券投资风险的量化管理工具研究&套利定价理论及其运用

Research on Instruments of Quantitative Management of Securities Investment Risks & APT and Its Application

以套利定价理论为指导，建立了基于行业景气指数的行业选择模型和行业股指收益率预测的多因素模型；

Guided by APT , this work also constructs an industry selection model based on industrial cycle index , and a multi-factor model to forecast the return on an industry index .

c.套利定价理论

C. Arbitrage Pricing Theory

Ross提出了套利定价理论（APT），试图找到更适合实际的定价模型。

Ross proposed arbitrage pricing theory ( APT ), trying to find more suitable for practical pricing models .

多因子定价模型（MultifactorPricingModel）是资产定价理论发展到套利定价理论（ArbitragePricingTheory，APT）之后的延伸，是对金融资产定价研究的重要理论突破。

The multifactor pricing model is a crucial breakthrough in asset pricing theory and a derivation or an extension of the arbitrage pricing theory ( APT ) .

其次探讨股票收益率采用的两个模型：传统的资本资产定价模型和多要素套利定价理论，并介绍如何计算股票的VaR；

Secondly we discuss the two models of stock returns rate , CAPM and APT , and then we introduce how to calculate VaR of stock .

1976年，罗斯（StephenA.Ross）突破性地发展了CAPM，首创套利定价理论（APT）。

In 1976 , Stephen A. Ross developed CAPM and initiated the arbitrage pricing theory ( APT ) which is a breakthrough .

IPO抑价现象很复杂，市场有效假说和套利定价理论等这些传统的经济学理论已经不足以解释这一复杂的现象。

These traditional economic theory for example efficient market hypothesis and the arbitrage pricing theory , etc , which has been insufficient to explain this complex phenomenon .

套利定价理论（APT）是一种证券投资风险的量化管理工具，是度量市场均衡时风险性基础资产的定价问题的理论。

As a kind of management instrument that can quantify security investment risk , APT ( Arbitrage Pricing Theory ) can be used to measure the price of risky assets when market is in Equilibrium .

套利定价理论（APT）认为资产收益中完全个性化的运动不应该有任何的风险价格，一种证券的风险价格或期望收益应该只与该证券的共同变动因素即因子的协方差相关。

Arbitrage Pricing Theory ( APT ) figures that the completely individual movement in asset return should not have any risk prices . The risk price or expected return of one kind of security should only be relative to its common changing factors or covariance of the security .

随后，夏普的资本资产定价理论、罗斯的套利定价理论、Black-Scholes的期权定价理论以及JPMargan公司开发VaR风险测量方法，构造了现代风险理论的基本框架。

Afterwards , Capital assets pricing theory of Sharp , Arbitrage Pricing Theory of Ross , Option Pricing Theory of Black-Scholes and The VaR to measure risk developed by the JP Margan Company , all these structured the basic frame of the modern risk theory .

最后，在套利定价理论的基础上，引入了证券组合的投资模型，对此决策模型进行研究。

Finally , we introduce a portfolio model of APT model .

金融套利定价理论及应用分析

Theory and Application of Financial Arbitrage Pricing

然而，随着中国经济的迅速发展，套利定价理论日益受到人们重视。

However , with the rapid development of economy , APT increasingly gained much attention .

然后，根据套利定价理论思想，建立了行业股指预测的多因素模型。

Then , the multi-factor model to forecast an industry 's stock index is built according to APT.

在此基础上，深入具体地研究了套利定价理论探测性因子分析和指定性因子分析的实施步骤，比较研究了两者的优劣，从而改善了套利定价理论的可操作性。

Based on the above , it studies the procedures of the explored factor analysis and the specified factor analysis of APT.

通过对估价参数的研究，构建了基于套利定价理论的采矿权估价模型。

Finally , the mining rights evaluation model based on arbitrage pricing theory has been established through studies of evaluation parameters .

它是对传统金融学如有效市场理论、套利定价理论等的创新，也反映了现代金融学研究的最新发展。

As an innovation to traditional finance theories , such as effective market theory , it reflects the forefront development of contemporary finance .

详细介绍了资产组合管理理论、资本资产定价理论、套利定价理论、期权定价理论、套期保值理论和综合风险管理理论等风险管理理论工具。

Thirdly , it introduces the theories of portfolio management , asset pricing , arbitrage pricing , options pricing , hedge , comprehensive risk management .

从资本资产定价理论和套利定价理论出发，研究了证券投资分析的收益率和风险问题。

By applying the Capital Asset Pricing Theory and Arbitrage Pricing Theory , this paper analyses the problem of profit expectation and risk in securities investment analysis .

套利定价理论在深圳股市的实证检验第三章分析了风险资产的套利定价理论，对套利定价理论的模型进行了推导。

An Empirical Investigation of APT Model Being Used in Shenzhen Stock Market ; Chapter three analyzes the Arbitrage Pricing Theory ( APT ) of risk assets .

目前，国内流行的教科书对于资产定价理论的介绍仍然是以资本资产定价模型为核心进行的，而对套利定价理论的介绍大都过于概略。

Nowadays , CAPM is still the core about the domestic popular textbook description of the asset pricing theory , and the introduction of APT is generally too broad .

主要运用套利定价理论和建立因素模型研究我国股票回报率及相关因素，为股市的分析提供一个新的工具。

The factors which obviously influenced the stock return in Chinese stock market are researched from using the arbitrage pricing theory ( APT ) and factor model in this paper .

再次在分析模型假设条件的基础上，文章讨论了套利定价理论、期权理论等模型的改进方法。

Next it discusses the methods including arbitrage pricing theory ( APT ), option theory and so on , which improve CAPM based on the analysis of hypothetical conditions thirdly .

验证结果表明：多因素套利定价理论普遍适用于深市股市市场，我们不仅对因子的个数进行了估计，而且检验了因子存在的可能性。

The result shows that ShenZhen stock market conforms to multi-factor APT model . We not only estimate the number of factors , but also prove the presumption of their existence .

各种资产定价理论，包括资本资产定价理论和套利定价理论探讨的都是它们之间的关系。

The relationship between them was widely studied in many classic assets pricing models , including the Capital Assets Pricing Model ( CAPM ) and the Arbitrage Pricing Theory ( APT ) .

综述了投资组合理论发展的基本状况，对资本市场理论、资本资产定价模型以及套利定价理论进行了系统剖析；

The basis development status of portfolio theory is summarized . At the same time , the capital market theory and the capital asset pricing model ( CAPM ), as well as the arbitrage pricing theory are carefully analyzed .

本文对资本资产定价理论中的两个重要模型&资本资产定价模型和套利定价理论模型进行了比较详细的推导，并对该理论中存在的问题及未来发展方向作了一个简单的评述。

This paper presents CAPM and APT that are the two important models in capital asset pricing theory with detailed formulations . Then the current states of capital asset pricing theory are reviewed and future trends are also suggested .

其次，在总结分析各种股票定价理论模型的基础上，以套利定价理论为依据，通过分析其因素的合理构成，构建了一种股票发行的参考定价模型。

Next , analyzes each kind of stock fixed price theoretical model , take the arbitrage fixed price theory as the basis , through analyzes its reasonable constitution factor , and constructed one kind of stock release reference fixed price model .

该模型假设投资收益率受到多种风险因素的影响，收益率由各风险因素溢酬的线性组合决定。当多因素模型框架下收益与风险达到均衡时，风险资产价格遵守套利定价理论。

Multifactor model assumes that the return on investment will be influenced by various risk factors , when under this model 's assumption , the return and risk reach equilibrium , the Investment return of the risk asset is described by Arbitrage Pricing Theory ( APT ) .