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CAS Exam 9 Study Notes: Arbitrage Pricing Theory
2019-03-30
My notes on Arbitrage Pricing Theory are now available. These notes correspond to Chapter 10 of the textbook Investments by Bodie, Kane, and Marcus. The notes describe how a benchmark expected return for a well-diversified portfolio of stocks can be calculated based on the assumption that the return on the portfolio should not permit arbitrage. The benchmark is based on the correlation of the portfolio return with various macroeconomic factors. These notes correspond to objective A8 on the syllabus.
Keywords: Actuarial Science, Study Note, Exam 9