So I have an equation

$\displaystyle (\mu_i(t)-r_t)dt=\sum^K_{k=1}\beta_{ik}(t)(\mu_{X_k}(t)-r_t)dt$

where

$\displaystyle \beta_{ik}(t)=\frac{\frac{d<S_i,X_k>_t}{S_i(t)X_k( t)}}{\frac{d<X_k,X_k>_t}{X_k(t)^2}}$

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- Jul 21st 2012, 06:06 AMHelpmeplease1Formulate the k-factor beta model and show on excel
So I have an equation

$\displaystyle (\mu_i(t)-r_t)dt=\sum^K_{k=1}\beta_{ik}(t)(\mu_{X_k}(t)-r_t)dt$

where

$\displaystyle \beta_{ik}(t)=\frac{\frac{d<S_i,X_k>_t}{S_i(t)X_k( t)}}{\frac{d<X_k,X_k>_t}{X_k(t)^2}}$ - Jul 21st 2012, 07:34 AMHelpmeplease1Re: Formulate the k-factor beta model and show on excel
Is it just the formula for the arbitrage pricing theory?