小同學
2020-09-10 22:34APT是有三個假設對嗎？分別是什么呢
所屬：FRM Part I > Foundations of Risk Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Adam助教
2020-09-11 10:10
該回答已被題主采納
同學你好,
這三個只是基本假設：
1：Asset returns can be explained by systemic factors.資產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險因子
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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