Interpreting the factor risk premia in the arbitrage pricing theory

DOI10.1016/0022-0531(85)90071-7zbMath0555.90016OpenAlexW1981252814MaRDI QIDQ761333

Anat R. Admati, Paul Pfleiderer

Publication date: 1985

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(85)90071-7

zbMATH Keywords

arbitrage pricing theoryapproximate pricing relationexcess returns on portfolios

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

On the empirical identification of risk factors in arbitrage pricing models ⋮ ARBITRAGE PRICING THEORY IN ERGODIC MARKETS ⋮ Arbitrage pricing theory and risk-neutral measures

Cites Work

• A unified beta pricing theory
• A simple approach to arbitrage pricing theory
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Funds, Factors, and Diversification in Arbitrage Pricing Models

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