eScholarship (California Digital Library) · 1980 · 10 citations · 0 references
Open access
BusinessEconomicsFinanceFinancial EconomicsPricing TheoryQuantitative FinanceArbitrage PricingAsset Pricing TheoryFinancial MathematicsOption PricingOption Pricing ModelsPortfolio TheoryArbitrage Pricing RelationshipsArbitrage-free PricingCapital Budgeting DecisionsContinuous-time ModelsMean-variance AnalysisNo-arbitrage Term Structure ModelsOption Pricing TheoryPerturbation Analysis
The pricing equation of Ross' (1976) APT model is derived using estimable parameters. Estimation errors are discussed in the framework of elementary perturbation analysis. Theoretically, a simple link is provided among the mean-variance efficient set mathematics, mutual fund separations, discrete and continuous time CAPM, option pricing model, term structure of interest rate, capital budgeting, portfolio ranking, Modigliani Miller theorems with the APT.