Arbitrage pp 69-97 | Cite as

Approximate Arbitrage: The Arbitrage Pricing Technique

  • Michael Allingham

Abstract

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.

Keywords

Covariance Income Stein Volatility 

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Copyright information

© Michael Allingham 1991

Authors and Affiliations

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

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