小同學(xué)
2020-09-10 22:34APT是有三個(gè)假設(shè)對嗎？分別是什么呢
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
Adam助教
2020-09-11 10:10
該回答已被題主采納
同學(xué)你好,
這三個(gè)只是基本假設(shè)：
1：Asset returns can be explained by systemic factors.資產(chǎn)收益由因素模型決定.
2：By using diversification, investors can eliminate specific risk from their portfolios.分散化可消除特定風(fēng)險(xiǎn)因子
3：There are no arbitrage opportunities among well-diversified portfolios. If any arbitrage opportunities were to exist, investors would exploit them away.無套利
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