19. C is correct. Aggarwal is incorrect about Portfolio Y. “Factor portfolios by definition will
have a factor sensitivity of 1 to a particular factor and zero sensitivity for all other factors.
For Portfolio Y to be a factor portfolio for the inflation risk factor it must have factor beta of
1 to inflation risk and zero for the other factors.” Section 3. LO.a.
Bạn đang xem 19. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK