Arbitrage pp 69-97 | Cite as

Approximate Arbitrage: The Arbitrage Pricing Technique

  • Michael Allingham


This chapter extends the concept of arbitrage to encompass approximate arbitrage and develops the arbitrage pricing technique (or APT); this may be interpreted as a generalisation of the version of the CAPM developed in Chapter 3.


Exchange Rate Interest Rate Risk Premium Portfolio Selection Price Relation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Chen, N., Roll, R. and Ross, S. (1986) ‘Economic Forces and the Stock Market’, Journal of Business, no 59, pp. 383–403.Google Scholar
  2. Grinblatt, M. and Titman, S. (1983) ‘Factor Pricing in a Finite Economy’, Journal of Financial Economics, no 12, pp. 495–507.Google Scholar
  3. Grinblatt, M. and Titman, S. (1987) ‘The Relation between Mean-Variance Efficiency and Arbitrage Pricing’, Journal of Business, no 60, pp. 97–112.Google Scholar
  4. Huberman, G. (1982) ‘A Simple Approach to Arbitrage Pricing’, Journal of Economic Theory, no 28, pp. 183–91.Google Scholar
  5. Huberman, G. (1989) ‘Arbitrage Pricing Theory’, in J. Eatwell, M. Milgate and P. Newman (eds) The New Palgrave: Finance (London: Macmillan).Google Scholar
  6. Johnston, J. (1984) Econometric Methods (New York: McGraw-Hill) 3rd edn.Google Scholar
  7. Lancaster, K. (1968) Mathematical Economics (Toronto: Macmillan).Google Scholar
  8. Morrison, D. (1967) Multivariate Statistical Methods (New York: McGraw-Hill).Google Scholar
  9. Roll, R. and Ross, S. (1980) ‘An Empirical Investigation of the Arbitrage Pricing Theory’, Journal of Finance, no 35, pp. 1073–103.Google Scholar
  10. Roll, R. and Ross, S. (1984) ‘The Arbitrage Pricing Approach to Strategic Planning’, Financial Analysts Journal, no 40, pp. 14–26.Google Scholar
  11. Ross, S. (1976) ‘Return, Risk, and Arbitrage’, in I. Friend and J. Bicksler (eds) Risk and Return in Finance (Cambridge: Ballinger).Google Scholar
  12. Ross, S. (1976) ‘The Arbitrage Theory of Capital Asset Pricing’, Journal of Economic Theory, no 13, pp. 341–60.Google Scholar
  13. Rubinstein, M. (1973) ‘A Comparative Statics Analysis of Risk Premiums’, Journal of Business, no 46, pp. 605–15.Google Scholar

Copyright information

© Michael Allingham 1991

Authors and Affiliations

  • Michael Allingham
    • 1
  1. 1.University of KentUK

Personalised recommendations