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.
为什么选项C: A factor model describes asset returns. 不是正确答案?