1. Which of the following statements about arbitrage pricing theory (APT) is most likely true?
A. APT represents an asset’s risk as a linear function of factors representing unsystematic
risk.
B. The number of underlying factors in APT is fixed.
C. A key assumption of APT is that there are many investable assets such that asset specific
risk can be diversified.
Bạn đang xem 1. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R48 INTRODUCTION TO MULTIFACTOR MODELS Q BANK