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尼克内姆 · 2020年01月30日

问一道题:NO.PZ2018070201000091 [ CFA I ]

问题如下:

Which of the following is most accurate in the return-generating model?

选项:

A.

Return-generating models are used to directly estimate the expected return of a security.

B.

Return-generating models are used to directly estimate the weights of securities in a portfolio.

C.

Return-generating models are used to directly estimate the parameters of the capital market line.

解释:

A is correct.

In the market model, RiiiRm +ei,  we use historical security and market returns to estimate the intercept, αi, and slope coefficient,βi. Based on the intercept and slope coefficient, we can predict firm-specific returns of a security.

return generating model是market model 吗?

1 个答案

🐳Sakura · 2020年01月31日

return generating model指的是多因素模型

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