20.500.12556/DKUM-18601 PRIMERJAVA MODELA VREDNOTENJA DOLGOROČNIH NALOŽB (CAPM) IN ARBITRAŽNE TEORIJE CEN (APT) COMPARISON BETWEEN CAPITAL ASSET PRICING MODEL (CAPM) AND ARBITRAGE PRICING THEORY (APT) Spoznati želimo model vrednotenja dolgoročnih naložb (CAPM) in arbitražno teorijo cen naložb (APT). Oba modela želita ugotoviti, kakšne bodo pričakovane donosnosti v nekem portfelju. S CAPM-jem izračunavamo pričakovane donosnosti s pomočjo povprečja in variance, medtem ko so pri APT-ju pomembni faktorji. APT je neke vrste nadgradnja CAPM-ja. Raziskovalci, ki so modela primerjali (pri gozdarskih in kmetijskih naložbah) so ugotovili, da je APT model krepkejši, vendar pa tudi rezultatov CAPM-ja ne gre zanemariti. Pri obeh pa so med svojim raziskovanjem naleteli na težave. Oba imata svoje prednosti in slabosti. Kitajski raziskovalci so ugotovili, da je APT na kitajskem borznem trgu neuporaben, medtem ko so na Japonskem tudi testirali ta model in pokazali, da je ta model v prednosti pred CAPM-jem. CAPM pa se lahko uporablja tudi kot orodje za strateško planiranje, in sicer v korporacijah, ki se morajo odločiti, katere posle bodo obdržali in katere odstranili. We want to represent capital asset pricing model (CAPM) and arbitrage pricing theory (APT). With both models we can calculate what the expected return will be in a portfolio. With CAPM we can calculate expected returns with averages and variances but in arbitrage pricing theory factors are important. APT is kind of upgrede of CAPM. Researchers who compered the models (in forestry-related investments and agricultural investments) have found that the APT model is more robust. But the findings of CAPM should not be neglected. They have had problems throughout their research with both models. Both have their strengths and weaknesses. Chinese researchers have found that the APT is not applicable on Chinese security market. While in Japan APT was also tested and shows a superiority over the CAPM. CAPM can be used as a tool for strategic planning in multi-divisional firms that must decide which business will be retained and which removed. moderna portfeljska teorija (MPT) model vrednotenja dolgoročnih naložb (CAPM) arbitražna teorija cen naložb (APT) portfelj diverzifikacija tveganje specifično tveganje sistematično tveganje koeficient β modern portfolio theory (MPT) capital asset pricing model (CAPM) arbitrage pricing theory (APT) portfolio diversification risk systematic risk specific risk β coefficient true true false [K. Miklič] Slovenski jezik Angleški jezik Diplomsko delo 2011-05-18 20:04:51 2011-07-06 13:46:59 2022-04-13 10:53:04 2023-12-24 03:15:00 2011 0 Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 336.76 10716444 URN:SI:UM:DK:TLKLSUQ0 UNI_Miklic_Katja_2011.pdf UNI_Miklic_Katja_2011.pdf 1 6694A277394CE9FFBC0FE15AD688ED7E d4fbde79aa4993683de4c9137dd9eb3d405915e06ab58fbe1e88cef0177df106 2d4d62ca-7c05-11eb-bb7a-00155d0001ca 20.500.12556/dkum/dfeb9c5d-ef70-4961-b7d1-d7c2208d7f95 https://dk.um.si/Dokument.php?lang=slv&id=22201 Ekonomsko-poslovna fakulteta 0 0 0