问题如下:
The APT model is derived from
选项:
A.a theoretical model of optimal portfolio selection.
an extension of the concept of CAPM.
arbitraging a few known risk factors in the market
investors holding efficient portfolios.
解释:
B.
an extension of the concept of CAPM.
Arbitrage Pricing Theory (APT) is based on the reasoning behind CAPM. It differs in that it is a multi-factor model.
感觉还是不严密。。。CAPM从CML,那边弄过来,APT,认为well porfolio,没有套利机会,如果冲了well porfolio的beta那就只能拿到rf。。虽然CAPM是APT的一个特殊,但是也不能用“来源于这个词吧”哈哈