问题如下图：
选项：
A. 
B. 
C. 
解释：
两个组合的macroeconomic model就可以直接相加吗。。
NO.PZ201710100100000105 问题如下 5. Baseon the ta in Exhibits 2 an3, the return for Portfolio Agiven the surprises in inflation anG growth, is closest to: A.2.02%. B.2.40%. C.4.98% A is correct. The macroeconomic two-factor mol takes the following form: Ri=ai+bi1FINF+bi2FG+εi,R_i=a_i+b_{i1}F_{INF}+b_{i2}F_{G}+\varepsilon_i,Ri=ai+bi1FINF+bi2FG+εi,where FINF anFG represent surprises in inflation ansurprises in G growth, respectively, anrepresents the expectereturn to asset i. Using this mol anthe ta in Exhibit 2, the returns for FunA anFunC are representethe following:RA = 0.02 + 0.5FINF + 1.0FG + εA RC = 0.03 + 1.0FINF + 1.1FG + εcSurprise in a macroeconomic mol is fineactufactor minus prectefactor. The surprise in inflation is 0.2% (= 2.2% – 2.0%). The surprise in G growth is –0.5% (= 1.0% – 1.5%). The return for Portfolio Acomposeof a 60% allocation to FunA an40% allocation to Funis calculatethe following:R= (0.6)(0.02) + (0.4)(0.03) + [(0.6)(0.5) + (0.4)(1.0)](0.002)+ [(0.6)(1.0) + (0.4)(1.1)]( –0.005) + 0.6(0) + 0.4(0) = 2.02%考点macroeconomic mol解析已知Zapata使用的是含有inflation和G growth两因子的宏观经济模型，所以写出模型公式Ri = + bi1 F INF + bi2 F G + εi,题干又给出zero value for the error terms的信息，所以ε i=0，因此我们可以将AB基金的数据代入模型RA = 0.02 + 0.5FINF + 1.0FGRC = 0.03 + 1.0FINF + 1.1FG根据表3，FINF = 2.2% – 2.0%=0.2%， FG= 1.0% – 1.5%= –0.5%.RA =1.6%RC =2.65%Portfolio AC=60%A+40%C=60%*1.6%+40%*2.65%=2.02% 如题，这个题为什么不能用APT模型，用ABC三个portfolio算出rf等 求解
为啥用forecast和actuvalue 的相减？
一开始好像理解反了，这样的b组合意思是没有考虑到g影响因素的事情而不是已经在组合内部调整好g影响因素？所以b的优点不是降低了g risk而是减小了inflation risk？是这么理解吗老师
解答是先求出RA和RC，再按权重算；可以先求出60%A和40%ai和，组合每个因子的sensitivity，再按宏观因子模型的公式带入吗？
请问答案里面的Rc为什么是1INF而不是0.9INF？谢谢！
