刘同学2024-08-20 19:29:51
刘同学不懂这三个选项
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Bingo2024-08-22 16:15:13
Bingo同学你好，
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单因素模型（Single-Index Model）的公式用于描述个别证券的收益与市场收益之间的关系。
Ri=α i+β iRm+ϵ i
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A错了，应该是historical relationships
A. Incorrect because factor weights in return-generating models are usually derived from historical relationships between these factors and the returns. For example, in case of the market model, the intercept, αi, and slope coefficient, βi, can be estimated by using historical security and market returns. These parameter estimates are then used to predict company-specific returns that a security may earn in a future period.
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B错了，因为market model只用market return作为单一因子，其余都不用
B. Incorrect because the most common implementation of a single-index model is the market model, in which the market return is the single factor or single index. Thus, the market model does not use any factor other than the market return.
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C正确
C. Correct because with the introduction of return-generating models, particularly the single-index model, we are able to decompose total variance into systematic and nonsystematic variances. Topic: Portfolio Risk and Return: Part II Requirement: explain return generating models (including the market model) and their uses
Evian, CFA2024-08-22 16:26:04
Evian, CFAヾ(◍°∇°◍)ﾉﾞ你好同学，恭喜你完成了CFA机考！
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