出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：This paper as a synthetic analyzis based on the Markowitz and Sharpe models deals with the problem of portfolio trying to determine both the optimum proportion of titles and the influence of a considered macroeconomic factor over their level of efficiency and risk. The improvement of these models was made through the introduction of a new model, the APT model (Arbitrage Price Theory), as a development of the uni-factorial CAPM model, in other words, the above-mentioned model only constitutes a particular form of the APT model trying to establish a relationship between the individual efficiency of a title from the portfolio and several macroeconomic factors. Also, this model involves the identification of macroeconomic factors influencing the profitability of the titles and the determination of the influence of these factors individually, through the application of the APT model.
关键词：systematic risk; capital market line; security market lines; correlation coefficient; volatility; position coefficient; macroeconomic factor; risk-free asset.
