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xiao15 · 2021年07月22日

老师这个概念在哪个章节讲的？

  1. CFA I
  2. Portfolio

NO.PZ2018070201000091

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, Ri =αi +βiRm +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.

老师这个概念在哪个章节讲的？

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1 个答案
已采纳答案

Kiko_品职助教 · 2021年07月23日

嗨，爱思考的PZer你好：


这个概念是在Reading53 里面multifactor models里讲的。它就是指多因素模型，多因素模型认为股票收益率也是正常Rf＋risk primuim，只不过这个risk primium是从多个风险因子角度考虑的。这个在一级里面不是重点，到二级会重点学习。这里只需要了解即可，碰到题就记一下。讲义截图如下：

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努力的时光都是限量版，加油！

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NO.PZ2018070201000091 问题如下 Whiof the following is most accurate in the return-generating mol? A.Return-generating mols are useto rectly estimate the expectereturn of a security. B.Return-generating mols are useto rectly estimate the weights of securities in a portfolio. C.Return-generating mols are useto rectly estimate the parameters of the capitmarket line. A is correct.In the market mol, Ri =αi +βiRm +ei, we use historicsecurity anmarket returns to estimate the intercept, αi, anslope coefficient,βi. Baseon the intercept anslope coefficient, we cprefirm-specific returns of a security. Ri=α+βRm+e，根据实际的历史数据回归得到α和β。得到α和β，然后再代入数据就可以得到预测的Ri，所以选A，老师我这样理解对吗？

2023-07-21 19:06 2 · 回答

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2021-11-07 14:24 1 · 回答

NO.PZ2018070201000091 Return-generating mols are useto rectly estimate the weights of securities in a portfolio. Return-generating mols are useto rectly estimate the parameters of the capitmarket line. A is correct. In the market mol, Ri =αi +βiRm +ei,  we use historicsecurity anmarket returns to estimate the intercept, αi, anslope coefficient,βi. Baseon the intercept anslope coefficient, we cprefirm-specific returns of a security.return generating mol是指多因子模型么？还是用来回归求beta的market mol？怎么感觉这条答案的有点不对

2021-06-19 09:59 2 · 回答