Preferences, Continuity, and the Arbitrage Pricing Theory
成果类型：
Article
署名作者：
Jarrow, Robert A.
署名单位：
Cornell University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/1.2.159
发表日期：
1988
页码：
159
关键词：
摘要：
This article investigates the structure on preferences required to derive Ross's arbitrage pricing theory (APT). It is shown that only ordinal preferences are required. In particular, the APT does not require that agents possess preferences representable as risk. averse expected utility functions. This characteristic of the APT is not shared by the standard equilibrium-based capital asset pricing models.