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- W185380011 abstract "Publisher Summary This chapter presents a small-noise version of the Arbitrage Pricing Theory (APT), which allows the interpretation of the approximate linearity of the risk premia in terms of factor exposures for a fixed number of assets. The approximation becomes more accurate as the noise of the system decreases, even though the number of assets stays fixed. The Pareto optimality of such noise reduction is proven for a particular economy. The theory stresses the approximate linearity of the risk premia of assets in terms of the factor loadings. The basic assumption is that returns are generated by a linear factor model. The theory shows that the linear approximation becomes increasingly accurate as the number of assets increases to infinity. The chapter demonstrates the magnitude of idiosyncratic noise." @default.
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- W185380011 date "2005-01-01" @default.
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- W185380011 title "The small noise arbitrage pricing theory and its welfare implications" @default.
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- W185380011 doi "https://doi.org/10.1016/b978-075066006-8.50008-2" @default.
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