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一只可爱的猪 · 2020年02月28日

问一道题:NO.PZ2015121801000091

问题如下:

With respect to return-generating models, which of the following statements is most accurate? Return-generating models are used to directly estimate the:

选项:

A.

expected return of a security.

B.

weights of securities in a portfolio.

C.

parameters of the capital market line.

解释:

A  is correct.

In the market model, RiiiRm +ei, the intercept, αi, and slope coefficient,βi, are estimated using historical security and market returns. These parameter estimates then are used to predict firm-specific returns that a security may earn in a future period.

为什么不选C? b不是也是直接估计的吗


1 个答案

星星_品职助教 · 2020年02月28日

同学你好,

return-generating models是估计预期收益率的,所以才叫“return-generating”

资产组合里的资产权重不需要估计。