arbitrage-pricing-theory

  1. David Harper CFA FRM

    P1.T1.20.10. Multifactor models of risk-adjusted asset returns

    Learning objectives: Explain the arbitrage pricing theory (APT), describe its assumptions and compare the APT to the CAPM. Describe the inputs (including factor betas) to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Explain models...
    • David Harper CFA FRM
    • Thread
    • arbitrage-pricing-theory capital-asset-pricing-model expected-return factor-betas fama-french-model multifactor-models risk-adjusted-asset-returns single-factor-model
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Z

    P1T1 CAPM vs APT, APT not included in study notes

    Hi, I am looking at Elton, Modern Portfolio Theory, Chapter 13 / Study Notes: Elton, Chapter 13 but only able to find CAPM not APT also not in later chapters as I see questions related to APT or APT/CAPM comparisons in the question set under this chapter. Could someone point me to the right...
  3. Nicole Seaman

    P1.T1.611. Arbitrage pricing theory (APT) (Topic Review)

    Questions: 611.1. Peter the portfolio manages observes the following three well-diversified portfolios (A, B and C) that exist in a single-factor economy: If Peter seeks to conduct an arbitrage with a long/short portfolio with $2.0 million of gross exposure, what is the expected profit...
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