麻烦老师看下这道题我理解的是否准确

问题如下：

APT assumes asset returns are normally distributed

选项：

A.

True

B.

False

解释：

False

APT has three underlying assumptions.

1. Asset returns can be explained by systemic factors.

2. By using diversification, investors can eliminate

specific risk from their portfolios.

3. There are no arbitrage opportunities among welldiversified portfolios. If any arbitrage opportunities were to exist, investors would exploit them away.