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2024-07-28 09:57CAPM和APT分別都有哪些主要假設(shè)，幫忙總結(jié)一下吧
所屬：FRM Part I > Foundations of Risk Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
黃石助教
2024-07-29 11:03
該回答已被題主采納
同學(xué)你好。CAPM的假設(shè)有：
? Access to information for all market participants, meaning that all information is freely available and instantly absorbed【投資者可以免費(fèi)獲得所有可用信息】
? All market participants have the same expectations about the returns and risk for the same set of assets (i.e., the homogeneous expectations【同質(zhì)預(yù)期假設(shè)，即投資者對(duì)于同一組資產(chǎn)的收益和風(fēng)險(xiǎn)的預(yù)期全部都是相同的】
? All market participants make their investment decisions based on the mean and variance of returns【投資者使用均值方差分析框架】
? No transaction costs, taxes, or other frictions【市場(chǎng)無交易成本、無稅收以及其它市場(chǎng)摩擦】
? Allocations can be made in an investment of any partial amount【資產(chǎn)無限可分，例如投資者可購買0.1股】
? All participants can borrow and lend at a common risk-free interest rate【投資者可以按相同的無風(fēng)險(xiǎn)利率借入或借出資金】
? Any individual investor’s allocation decision cannot change the market prices (i.e., investors are “ price taker ” instead of price maker 【單個(gè)投資者的交易不會(huì)改變市場(chǎng)價(jià)格?！?/p>
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追答
APT的假設(shè)有：
? Asset returns can be explained by systematic factors that affect all securities (i.e., all asset returns follow a factor structure) 【資產(chǎn)收益率可被系統(tǒng)性風(fēng)險(xiǎn)因子所解釋】
? There are a large number of securities, which allows (at least some) investors to construct and hold the well diversified portfolio 【市場(chǎng)上有足夠多的證券，使得至少部分投資者可以構(gòu)建并持有充分分散組合】
? There are no arbitrage opportunities among well diversified portfolios 【充分分散組合之間不存在任何套利機(jī)會(huì)】
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