Multi-Index Models and Arbitrage Pricing Theory

Eliezer Prisman

Chapter 9 in Lecture Notes in Investment:Investment Fundamentals, 2020, pp 241-261 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The multi-index model (MIM) is an extension of the single index model (SIM). The relation between the SIM and the MIM is similar to the relation between a single and multi-variable regression. The MIM introduces the thought that there are a few sources of risk, identified by the model, and thus risk is no longer captured only by the variance of a security or the beta of a security. The idea behind the MIM stems from the premise that there are few common factors (indices) that affect the prices of securities in the market…

Keywords: Equality Markets; Bond Markets; Investment Fundamentals (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811219566_0009 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811219566_0009 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811219566_0009

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().