NO.PZ2018091701000005
问题如下：
Which of the following factor is APT assumption?
选项： investor can eliminate systematic risk.
no arbitrage opportunities exist among well-diversified portfolios.
C.a factor model describes asset risk.
解释：
B is correct.
考点：APT模型的假设。
解析：APT模型的假设有三个：
1. A factor model describes asset returns.
2. Investors can form well-diversified portfolios that eliminate asset-specific risk.
3. No arbitrage opportunities exist among well-diversified portfolios.
套利指的是在组合之间套利？
