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1. The weighed average of expected returns.
2. The weighted average of the betas times the factor.
3. The weighted average of the unsystematic risks.
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Summary and Conclusions
• The APT assumes that stock returns are generated according
to factor models such as:
· As securities are added to the portfolio, the unsystematic
risks of the individual securities offset each other. A fully
diversified portfolio has no unsystematic risk.
· The CAPM can be viewed as a special case of the APT.
· Empirical models try to capture the relations between
returns and stock attributes that can be measured directly
from the data without appeal to theory.
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11-26
谢 谢
三月-
2212:05:4012:0512:
05三月-22三月-
2212:05
12:0512:05:4
0三月-22三
月-
2212:05:40
2022/3/24 12:05:40
