榴同學(xué)
2022-07-26 00:49這個(gè)解析是什么呀 找不到答案了
所屬：FRM Part I > Foundations of Risk Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Adam助教
2022-07-26 10:42
該回答已被題主采納
同學(xué)你好，
這題正確選項(xiàng)是D。
Both are linear factor models. In regard, to (C), APT can use market-related, macro, fundamental, firm-specific, and/or statistical factors. But (D) is a key difference: APT does not require that a market portfolio of all risky assets.
Recall this requirement is a critical weakness of CAPM. The APT is marvelously flexible. We can concentrate on any desired group of stocks. Among any group of N stocks, there will be an efficient frontier for portfolios made up of the N risky stocks.
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