PORTFOLIO SELECTION UNDER ARBITRAGE PRICING THEORY USING ECONOMETRIC APPROACH
In this paper, we discuss the portfolio selection problem under the Arbitrage Pricing Theory (APT) using econometric approach. It is assumed that stock returns are analyzed following the APT. Factors in the APT are analyzed using an econometric approach, where the mean and non constan...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
JOURNAL OF QUANTITATIVE METHODS
2010
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/32965/1/6.pdf |