Lecture Investments – Chapter 11: Arbitrage pricing theory and multifactor models of risk and return
Lecture Investments – Chapter 11: Arbitrage pricing theory and multifactor models of risk and return
Chapter 11, Arbitrage pricing theory and multifactor models of risk and return. In this chapter, we show how such no-arbitrage conditions together with the factor model introduced in Chapter 10 allow us to generalize the security market line of the CAPM to gain richer insight into the risk-return relationship.