CAPM与 APT模型比较.要详细~~~~~

CAPM与 APT模型比较.要详细~~~~~

（1）该模型认为，当市场处于均衡状态时，某种资产（或资产组合）的期望收益率是其贝塔值（ 值）的线性函数，即：
E(Ri)=

式中，E(Ri)表示当市场处于均衡状态时，第i种资产（或资产组合）的期望收益率； 表示市场无风险利率,E( )表示当市场处于均衡状态时，市场证券组合的期望收益率。

一般可以以某种市场指数（如标准·普尔500指数等）的收益率来表示； i表示第i种资产（或资产组合）的贝塔系数，它反映了资产（或资产组合）系统风险（systemmatic risk）的大小。
（2）史蒂芬·罗斯等人于1976年所提出的一种风险资产的定价理论。该理论实际上是资本资产定价模型的一种拓展，所不同的是，套利定价理论的基础是因素模型，而资本资产定价模型的基础是市场模型。具体来说，套利定价理论认为，在均衡市场条件下，任何资产的期望收益率是若干因素的单位风险溢价的线性函数，即: ，式中， 表示第i种资产在均衡市场条件下的期望收益率； （j=1，2，…，n）表示第i种资产的收益率对第j个因素的敏感性，它是一个待估计的系数； （j=1，2，…，n）表示j种因素 的单位风险溢价。（写对教科书的公式也算正确）
套利定价理论的推导前提是，假设资本市场是一种完全市场，且投资者对资产未来收益率的预期具有一致性。通常情况下，人们在运用套利定价理论来分析和研究风险资产的收益率时，适用最为普通的因素是利率、景气、通货膨胀、劳动生产率、投资者信心。

楼上的，我找到的比你还多~~~~

我也想知道。。有人解答下吧。。。

Simply put, CAPM is a special case of APT.

The following is from wiki.
The APT along with the capital asset pricing model(CAPM) is one of two influential theories on asset pricing. The APTdiffers from the CAPM in that it is less restrictive in itsassumptions. It allows for an explanatory (as opposed to statistical)model of asset returns. It assumes that each investor will hold aunique portfolio with its own particular array of betas, as opposed tothe identical "market portfolio". In some ways, the CAPM can beconsidered a "special case" of the APT in that the securities market line represents a single-factor model of the asset price, where beta is exposed to changes in value of the market.
Additionally, the APT can be seen as a "supply-side" model, sinceits beta coefficients reflect the sensitivity of the underlying assetto economic factors. Thus, factor shocks would cause structural changesin assets' expected returns, or in the case of stocks, in firms'profitabilities.
On the other side, the capital asset pricing modelis considered a "demand side" model. Its results, although similar tothose of the APT, arise from a maximization problem of each investor'sutility function, and from the resulting market equilibrium (investorsare considered to be the "consumers" of the assets).

I assume you understand the definitions of the two models, and most importantly, the assumptions.

In fact, it is not important whether people call it "APT" or "CAPM". You should understand what's behind the models, i.e. the ideas.

http://www.cqvip.com/onlineread/ ... OPIBOLGEMCBCDOIPNFP

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