Le modèle d'évaluation par l'arbitrage, l'APT (Arbitrage Pricing Theory)

Patrice Fontaine; Pierre Hillion

Journal de la société française de statistique (1992)

  • Volume: 133, Issue: 4, page 141-160
  • ISSN: 1962-5197

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Fontaine, Patrice, and Hillion, Pierre. "Le modèle d'évaluation par l'arbitrage, l'APT (Arbitrage Pricing Theory)." Journal de la société française de statistique 133.4 (1992): 141-160. <http://eudml.org/doc/198650>.

@article{Fontaine1992,
author = {Fontaine, Patrice, Hillion, Pierre},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {141-160},
publisher = {Société de statistique de Paris},
title = {Le modèle d'évaluation par l'arbitrage, l'APT (Arbitrage Pricing Theory)},
url = {http://eudml.org/doc/198650},
volume = {133},
year = {1992},
}

TY - JOUR
AU - Fontaine, Patrice
AU - Hillion, Pierre
TI - Le modèle d'évaluation par l'arbitrage, l'APT (Arbitrage Pricing Theory)
JO - Journal de la société française de statistique
PY - 1992
PB - Société de statistique de Paris
VL - 133
IS - 4
SP - 141
EP - 160
LA - fre
UR - http://eudml.org/doc/198650
ER -

References

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  1. BROWN D., WEINSTEIN M. (1983) " A New Approach to Testing Asset Pricing Models : the Bilinear Paradigm", J. of Finance, juin, 711-743. 
  2. CHAMBERLAIN G. (1983) " Funds, Factors and Diversification in Arbitrage Pricing Models", Econometrica, 1305-1323. Zbl0523.90018MR736051
  3. CHAMBERLAIN G., ROTHSCHILD M. (1983) " Arbitrage and Mean/Variance Analysis on Large Markets", Econometrica, septembre, 1281-1304. Zbl0523.90017MR736050
  4. CHEN K., ROLL R., ROSS S. (1986) " Economic Forces and the Stock Maiket : Testing the APT and Alternatives Asset Pricing Theories", J. of Business. 
  5. CONNOR G.(1981) A Factor Pricing Theory for Capital Assets, Cahier de recherche, Nortwestern University. 
  6. DHRYMES P., FRIEND I, GULTEKIN M. (1984) " A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory", J. of Finance, juin, 323-350. 
  7. DYBVIG P. (1983) " An Explicit Bound on Individual Assets Deviations from APT Pricing in a Finite Economy", J. of Financial Economies, décembre, 483-496. 
  8. FAMA E., MAC BETH J. (1973) " Risk, Return and Equilibrium : Empirical Tests", J. of Political Economy, mai, 607-636. 
  9. FONTAINE P. (1985) " La théorie de l'arbitrage et l'évaluation des actifs financiers : une alternative au MEDAF, une application à la gestion de portefeuille", R. du Financier, avril, 16-24. 
  10. FONTAINE P. (1988) Arbitrage et évaluation internationale des actifs financiers, Economica, Paris. 
  11. GIBBONS M. (1982) " Multivariate Tests of Financial Models", J. of Financial Economics, mars, 3-27. 
  12. GIBBONS M., ROSS S., SHANKEN J. (1987) A Test of the Efficiency of a Given Portfolio, Unpublished research paper n° 853, Graduate School of Business, Stanford University. Zbl0679.62097
  13. GILLES C., LEROY S. (1990) On the Arbitrage Pricing Theory, Cahier de recherche, University of Santa Barbara, California, à paraître dans J. of Economic Theory. 
  14. GRINBLATT M., TlTMAN S. (1983) " Factor Pricing in a Finite Economy", J. of Financial Economies, décembre, 497-507. 
  15. HUBERMAN G. (1982) " A Simple Approach to Arbitrage Pricing Theory", J. of Economic Theory, octobre, 183-191. Zbl0519.90017
  16. JOBSON J ; (1982) " A Multivariate Linear Regression Test for the Arbitrage Pricing Theory", J. of Finance, septembre, 1037-1042. 
  17. LEHMANN B., MODEST D. (1988) " The Empirical Foundations of the Arbitrage Pricing Theory", J. of Financial Economics, 213-254. 
  18. ROLL R., ROSS S. (1980) " An Empirical Investigation of the Arbitrage Pricing Theory", J. of Finance, décembre, 1073-1103. 
  19. ROLL R, ROSS S. (1984) " The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning", Financial Analyst Journal, mai, 14-26. 
  20. ROSS S. (1976) " The Arbitrage Theory of Capital Asset Pricing", J. of Economic Theory, décembre, 341-360. MR429063
  21. SHANKEN J. (1987) " Multivariate Proxies and Asset Pricing Relations : Living with the Roll Critique", J. of Financial Economics, 91-110. 

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