证券投资风险的量化管理工具研究——套利定价理论及其运用

Research on Instruments of Quantitative Management of Securities Investment Risks——APT and Its Application

:套利定价理论 (APT)是一种证券投资风险的量化管理工具 ,是度量市场均衡时风险性基础资产的定价问题的理论。它对风险性资产的定价建立在证券收益率仅和单一共性因素——市场证券组合的收益率线性相关的直观理解上。 APT建立在有效证券市场假说基础上 。

As a kind of management instrument that can quantify security investment risk, APT(Arbitrage Pricing Theory) can be used to measure the price of risky assets when market is in Equilibrium. According to APT, the pricing of risky assets is based on visual understanding that security return is only in linear relation to returns on market security portfolio which is single general character. With Chinese security market development to be efficient, APT, which is founded on the hypothesis of Efficient Capital Market, will be applied in China.