Iris
2019-02-15 00:52"The CAPM was revolutionary because it was the first cogent theory to recognize that the risk of an asset was not how that asset behaved in isolation but how that asset moved in relation to other assets and to the market as a whole. Before the CAPM, risk was often thought to be an asset's own volatility. The CAPM said this was irrelevant and that the relevant measure of risk was how the asset covaried with the market portfolio--the beta of the asset." What else does he say is true about the CAPM? A.CAPM is known to be a spectacular failure with respect to its predictive power. B.Neither finance professors nor CFO employ CAPM C. Equilibrium asserts that factors are temporary because arbitrageurs eventually eliminate factors. D. Investors make very different predictions about asset returns, variances and correaltions; equilibrium is theory that says this diversity of beliefs is reconciled via the market price mechanism of supply and demand.請(qǐng)老師解釋下這題，謝謝！
所屬：FRM Part II 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
Crystal助教
2019-02-15 17:52
該回答已被題主采納
同學(xué)你好，這個(gè)題出的很詭異，題干中一開始他說(shuō)的是CAPM是怎么怎么好，后來(lái)就開始說(shuō)CAPM 的不好了。B選項(xiàng)說(shuō)的是CAPM在現(xiàn)實(shí)生活中是根本就不用的，這句話就是不正確的，雖然他的一些限制是很多的，但是在真正估價(jià)的時(shí)候，還是有很多值得借鑒之處的。C選項(xiàng)錯(cuò)在assert這個(gè)詞上，因?yàn)樵撈撐牡淖髡?，沒有堅(jiān)持說(shuō)明任何理論。D選項(xiàng)錯(cuò)在第一句話，應(yīng)該是same prediction。
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