This article investigates the structure onpreferences required to derive Ross’s arbitrage pricing theory (APT). It is shown that only ordinalpreferences are required. In particular, the APT does not require that agents possess preferences representable as riskaverse expected utility functions. This characteristic of the APT is not shared by the standard equilibriumbased capital asset pricing mo...

We explore two connections between the concepts of coherence, as defined by de Finetti, and arbitrage-free asset pricing in financial markets. We contrast these concepts when random quantities may be unbounded. And we discuss some of the consequences for arbitrage theory when coherent previsions are merely finitely (but not countably) additive. 2007 Elsevier Inc. All rights reserved.

The Black-Scholes theory, which is the main subject of this course and its sequel, is based on the Efficient Market Hypothesis, that arbitrages (the term will be defined shortly) do not exist in efficient markets. Although this is never completely true in practice, it is a useful basis for pricing theory, and we shall limit our attention (at least for now) to efficient (that is, arbitrage-free)...

Adaptive portfolio management has been studied in the literature of neural nets and machine learning. The recently developed Temporal Factor Analysis (TFA) model mainly targeted for further study of the Arbitrage Pricing Theory (APT) is found to have potential applications in portfolio management. In this paper, we aim to illustrate the superiority of APT-based portfolio management over return-...

Since the ideas of arbitrage free pricing were born, finance has changed radically both in theory and practice. Derivatives markets have evolved and options serve nowadays as underlyings and as hedging instruments. In this thesis, we consider some markets for equity derivatives. We start by statistical analysis of the markets for European options and variance swaps because these products are im...

aim: the aim of present study was to investigate the relationship between alexithymia construct and personality traits in university students. method: a sample of 112 undergraduate students of shahid chamran university was selected randomly and the 20-item toronto alexithymia scale and neo-ffi were administered to them. to analyze data canonical correlation analysis method was used. results: th...