Jophia
2020-10-19 10:00C錯(cuò)在哪里？以及apt假設(shè)有哪些
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
Jenny助教
2020-10-22 13:36
該回答已被題主采納
同學(xué)你好，
解釋因子的系數(shù)是有可能為負(fù)的，只要她對收益有顯著解釋效力就應(yīng)該包含進(jìn)去。
apt 假設(shè)：
Asset returns can be explained by systemic factors.
By using diversification, investors can eliminate specific risk from their portfolios.
There are no arbitrage opportunities among well-diversified portfolios. If any arbitrage opportunities were to exist, investors would exploit them away.
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