题目
Each of the following is an assumption of the arbitrage pricing model (APM) EXCEPT for:
选项
A.Homogeneous expectations
B.A security (stock) is linearly related to a set of indexes (factors).
C.Investors utilize a mean-variance framework.
D.Error terms are uncorrelated.
答案
C
解析
Arbitrage pricing theory is a new and different approach to determining asset prices. It is based on the law of one price: two items that are the same can’t sell at different prices. The strong assumptions made about utility theory in deriving the CAPM are not necessary. In fact, the APT description of equilibrium is more general than that provided by a CAPM-type model in that pricing can be affected by influences beyond simply means and variances. An assumption of homogeneous expectations is necessary. The assumption of investors utilizing a mean variance framework is replaced by an assumption of the process generating security returns. APT requires that the returns on any stock be linearly related to a set of indexes. 套利定价理论是一种确定资产价格的新方法。它基于一个价格定律：两个相同的商品不能以不同的价格出售。 在推导CAPM时，无需对效用理论做出强有力的假设。 实际上，APT对均衡的描述比CAPM类型的模型更为笼统，因为定价可能受到除均值和方差之外的其他因素影响。均质期望的假设是必要的。 投资者利用均值方差框架的假设被产生证券收益的过程的假设所代替。 APT要求任何股票的收益与一组指数线性相关。