NO.PZ2015121810000001
问题如下:
Compare the assumptions of the arbitrage pricing theory (APT) with those of the capital asset pricing model (CAPM).
选项:
解释:
APT and the CAPM are both models that describe what the expected return on a risky asset should be in equilibrium given its risk. The CAPM is based on a set of assumptions including the assumption that investors’ portfolio decisions can be made considering just returns’ means, variances, and correlations. The APT makes three assumptions:
1. A factor model describes asset returns.
2. There are many assets, so investors can form well-diversified portfolios that eliminate asset-specific risk.
3. No arbitrage opportunities exist among well-diversified portfolios.
同上
好像两年前就是酱紫了