Results 1 to 2 of 2

Thread: Formulate the k-factor beta model and show on excel

  1. July 21st 2012, 06:06 AM #1
    Helpmeplease1
    Helpmeplease1 is offline
    Junior Member
    Joined
    Nov 2011
    Posts
    31

    Formulate the k-factor beta model and show on excel

    So I have an equation

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

    where

    \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}}
    Last edited by Helpmeplease1; July 21st 2012 at 06:09 AM.
    Follow Math Help Forum on Facebook and Google+
  2. July 21st 2012, 07:34 AM #2
    Helpmeplease1
    Helpmeplease1 is offline
    Junior Member
    Joined
    Nov 2011
    Posts
    31

    Re: Formulate the k-factor beta model and show on excel

    Is it just the formula for the arbitrage pricing theory?
    Follow Math Help Forum on Facebook and Google+
« Converging sequence | Decreasing series »

Similar Math Help Forum Discussions

  1. Solving Correlated Stochastic Factor Model
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: May 3rd 2012, 10:40 PM
  2. Show that there is a basis for beta
    Posted in the Advanced Algebra Forum
    Replies: 1
    Last Post: September 29th 2010, 03:55 AM
  3. OLS estimate of Beta in General Linear Model
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: April 17th 2010, 06:23 AM
  4. I need help with a convertion factor to be used in excel to find out new distance
    Posted in the Math Topics Forum
    Replies: 1
    Last Post: April 15th 2010, 07:40 PM
  5. Show that if (a,m) = 1 and m has a prime factor p such that (p-1) | Q, then (a^Q-1,m)
    Posted in the Number Theory Forum
    Replies: 1
    Last Post: December 14th 2009, 05:13 PM

Search Tags


/mathhelpforum @mathhelpforum