Created
December 26, 2011 15:03
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Similarly for APT the mathematical form is: | |
\begin{eqnarray*} | |
R_i &=& a_j + \beta_{j1} F_1 + \beta_{j2} F_2 + \dots + \beta_{jn} F_n + \epsilon_j \\ | |
a_j &:& \mbox {constant for asset `j'}\\ | |
F_k &:& \mbox{ are systemic factors}\\ | |
\beta_{jk} &:& \mbox{ is the sensitivity of $j^{th}$ asset to factor `k'}\\ | |
\epsilon_j &:& \mbox{risky asset's idiosyncratic random shock with mean zero} | |
\end{eqnarray*} |
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