指數(shù)模型和套利定價(jià)理論(編輯修改稿)
2024-11-15 19:13 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 ation Low inflation High inflation Low inflation Stock or Portfolio Return（ %） 14 ? Expected return and standard deviation and correlation between the portfolio and the stock D Expected return Standard deviation Correlation Stock or Portfolio % % The Portfolio D % % Is there a reskless arbitrage opportunity ? 15 ? Making arbitrage positions High real rates Low real rates Cash Flow High inflation Low inflation High inflation Low inflation Position Investing in A Investing in B Investing in C Short sell D Net position $ m $ m $ m $ m $ m $ m $ m $ m $ 1 m 0 $ m $ m $ m $ 1 m $ m $ m $ m $ m $ 1 m $ m $ m $ m $ m $ 3 m 0 16 Arbitrage Pricing Theory (APT) — SingleFactor APT ? ?r E r F ei i i i? ? ??Macroeconomy factor: the deviation from the expectation ? ? 0?FEPure unsystematic risk ? ?? ?? ? 0,c ov,0,c ov0????FejieeeEijiiSensitivity of the security i’s return to the unexpected change of the macroeconomy factor 17 ? Welldiversified portfolios and the APT PA welldiversified portfolio consisting of securities: nw i n wi iin, , , ,? ??? ???1 11? ?r E r F eP P P P? ? ?????niiiP w1?????niiiP ewe1? ?? ? ? ?P P F Pe2 2 2 2? ?? ? ? ?? ?2 2 21e w eP i iin???Variance of macroeconomy factor 0 18 ? Welldiversified portfolios and the APT (Cont.) ? ?r E r FP P PP P F? ???? ? ?2 2 2Two diversified portfolio A and B, ? ?A B? ? ? ? ?E r E rA B?? A Mini Case: ? ?A B? ? 1 0.? ? ? ?E r E rA B? ?1 0 % , 8%Short selling $ 1 million port
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