开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

xmzcfaer · 2020年03月04日

问一道题:NO.PZ2018091701000005

问题如下:

Which of the following factor is APT assumption?

选项:

A.

investor can eliminate systematic risk.

B.

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?

1 个答案

星星_品职助教 · 2020年03月04日

同学你好,

C选项是a factor model describes asset “risk”.   APT是定价模型,并不衡量风险