return generating model和market model是一个东西吗

NO.PZ2018070201000091

问题如下：

Which of the following is most accurate in the return-generating model?

选项：

Return-generating models are used to directly estimate the expected return of a security.

Return-generating models are used to directly estimate the weights of securities in a portfolio.

Return-generating models are used to directly estimate the parameters of the capital market line.

解释：

A is correct.

In the market model, R_i =α_i +β_iR_m +e_i, we use historical security and market returns to estimate the intercept, α_i, and slope coefficient,βi. Based on the intercept and slope coefficient, we can predict firm-specific returns of a security.

如果不是为啥解释里要写market model,题目明明说的是return generating model

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Kiko_品职助教 · 2022年03月30日

嗨，从没放弃的小努力你好：

不是一个东西，return generating model就是多因素模型，其中的market model是单因素模型，属于多因素模型的一个特例。解释里面只是拿market model举例证明。

用历史数据求parameters (alpha & beta)是这个模型过程中的一个步骤。以解释中的模型为例，假设求出的是Ri=1+2Rm+e，那么只要代入预测的Rm，就能得出预测的Ri。所以这是一个预测个股收益的模型。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2018070201000091 问题如下 Whiof the following is most accurate in the return-generating mol? A.Return-generating mols are useto rectly estimate the expectereturn of a security. B.Return-generating mols are useto rectly estimate the weights of securities in a portfolio. C.Return-generating mols are useto rectly estimate the parameters of the capitmarket line. A is correct.In the market mol, Ri =αi +βiRm +ei, we use historicsecurity anmarket returns to estimate the intercept, αi, anslope coefficient,βi. Baseon the intercept anslope coefficient, we cprefirm-specific returns of a security. Ri=α+βRm+e，根据实际的历史数据回归得到α和β。得到α和β，然后再代入数据就可以得到预测的Ri，所以选A，老师我这样理解对吗？

2023-07-21 19:06 2 · 回答

NO.PZ2018070201000091 请问A项，老师上课时说market mol的Ri是rereturn，capm的是理论上的expectereturn, 为什么a项说预测的是expecteruturn是对的呢？

2021-11-07 14:24 1 · 回答

NO.PZ2018070201000091 老师这个概念在哪个章节讲的？

2021-07-22 17:22 1 · 回答

NO.PZ2018070201000091 Return-generating mols are useto rectly estimate the weights of securities in a portfolio. Return-generating mols are useto rectly estimate the parameters of the capitmarket line. A is correct. In the market mol, Ri =αi +βiRm +ei, we use historicsecurity anmarket returns to estimate the intercept, αi, anslope coefficient,βi. Baseon the intercept anslope coefficient, we cprefirm-specific returns of a security.return generating mol是指多因子模型么？还是用来回归求beta的market mol？怎么感觉这条答案的有点不对

2021-06-19 09:59 2 · 回答

return generating model和market model是一个东西吗

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