A
Alpha9
Member
In Arbitrage Pricing Theory, we are given:
Ri = E[Ri] + Sum(ßi × fij) + €i
How does this translate into the standard p(t) = E[m(t+1) × x(t+1)] formula? In particular, how do we get m(t+1) and x(t+1)?
Seems to me that all the core reading is telling me is
E[Ri]=E[Ri]
and the non-core reading says
m(t+1) = a + b' × f(t+1)
which makes it look identical to the intertemporal capital asset pricing model, perhaps with different 'factors'.
Is that all there is to it?
Ri = E[Ri] + Sum(ßi × fij) + €i
How does this translate into the standard p(t) = E[m(t+1) × x(t+1)] formula? In particular, how do we get m(t+1) and x(t+1)?
Seems to me that all the core reading is telling me is
E[Ri]=E[Ri]
and the non-core reading says
m(t+1) = a + b' × f(t+1)
which makes it look identical to the intertemporal capital asset pricing model, perhaps with different 'factors'.
Is that all there is to it?
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