临江仙 · 2020年07月21日
问题如下：
The APT model is derived from
选项：
A.a theoretical model of optimal portfolio selection.
an extension of the concept of CAPM.
arbitraging a few known risk factors in the market
investors holding efficient portfolios.
解释：
B.
an extension of the concept of CAPM.
Arbitrage Pricing Theory (APT) is based on the reasoning behind CAPM. It differs in that it is a multi-factor model.
不理解，不应该是基于套利的原理么，为什么还是 CAPM的拓展
NO.PZ2020021002000117问题如下The APT mol is rivefrom A.a theoreticmol of optimportfolio selection. B.extension of the concept of CAPM. C.arbitraging a few known risk factors in the marketinvestors holng efficient portfolios. B is correct..extension of the concept of CAPM.Arbitrage Pricing Theory (APT) is baseon the reasoning behinCAPM. It ffers in thit is a multi-factor mol.中文解析套利定价理论(APT)是基于CAPM的延伸。区别在于APT是多因素模型，CAPM是单因素模型。 C为什么不对？APT不是基于套利吗？
老师 A为什么不对
感觉还是不严密。。。CAPM从CML，那边弄过来，APT，认为well porfolio，没有套利机会，如果冲了well porfolio的beta那就只能拿到rf。。虽然CAPM是APT的一个特殊，但是也不能用“来源于这个词吧”哈哈
