phoebeweiwei2021-01-10 21:07:44

请问老师，书上这段没有看懂，可否解释下，多谢 The basic premise of APT is that investors can create a zero-beta portfolio with zero net investment. If such a portfolio yields a positive return, however, then a sure profit can be real-ized through arbitrage. The fundamental result, as proved by Professor Ross, is that the absence of arbitrage opportunities requires the expected return on all well-diversified portfolios to satisfy E(RP) = E(RZ) + bP1[E(I1) - E(RZ)]+ c +bPK [E(IK) - E(RZ)] where RP is the return on a well-diversified portfolio with expected return E(RP); bPk is the factor loading for the portfolio P related to factor k; E(RZ) is the expected rate of return on the zero-beta port-folio (i.e., the risk-free rate) such that Cov(Ik, RZ) = 0, for k = 1, c,K; and E(Ik) - E(RZ) is the risk premium associated with factor k.