Arbitrage Asset Pricing under Exchange Risk
将套利定价理论扩展到国际环境，发现汇率波动需与资产收益遵循相同因子模型才能实现无风险组合，否则需通过外汇无风险债券对冲汇率风险，此时预期收益的定价关系与封闭经济不同。
ABSTRACT This paper extends the APT to an international setting. Specifying a linear factor return‐generating model in local currency terms, we show that the usual risk‐diversification rule in the APT does not yield a riskless portfolio unless currency fluctuations obey the same factor model as asset returns. We then consider an arbitrage portfolio whose exchange risk is hedged by foreign riskless bonds. Under the resulting no‐arbitrage conditions, the expected returns are not on the same hyperplane, unlike the closed‐economy APT, unless they are adjusted by the cost of exchange risk hedging.