06. Arbitrage Pricing Model
Автор: School of Investment
Загружено: 2025-11-06
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The Arbitrage Pricing Model (APM) is a multi-factor equilibrium theory addressing the limitations of the Capital Asset Pricing Model (CAPM), such as its reliance on strict assumptions and a single market factor. Developed by Ross, APM is based on the law of one price, meaning identical assets cannot trade at different prices.
APM assumes investors are risk-averse and will engage in arbitrage transactions—seeking positive profit with no added risk or capital—until equilibrium is established.
Crucially, APM posits that asset returns are determined by multiple common factors. This makes APM a more generalized and empirically testable model compared to CAPM. In the resulting equilibrium, an asset's expected return is linearly related to its sensitivities ($\beta$) to these various systematic factors. APM requires fewer strict assumptions regarding asset return distributions or investor utility functions than CAPM.
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