Applied Research on Factor Analysis in Arbitrage Pricing Theory
The most important problem in Arbitrage Pricing Theory (APT) is how to screen out the factors which needs too much compute. Factor analysis is a method ing fewer factors from a large number of original variables and reducing compute. Through the factor analysis, this article ascertains four factors from eleven original variables which in-correlation and include the most information of those eleven variables. Using the four factors, this article also builds up an APT which is considered making a good effect in pricing by the empirical analysis.
Factor analysis Arbitrage pricing theory APT
SUN Jianmin
Economics and Management School, Nanjing University of Posts and Telecommunications, P.R.China
国际会议
The Tenth West Lake International Conference on Small & Medium Business(第十届西湖国际中小企业研讨会)
杭州
英文
305-309
2008-10-25（万方平台首次上网日期，不代表论文的发表时间）