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Math Help - Formulate the k-factor beta model and show on excel

  1. #1
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    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 07:09 AM.
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  2. #2
    Junior Member
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    Re: Formulate the k-factor beta model and show on excel

    Is it just the formula for the arbitrage pricing theory?
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