题目
How is APT different from CAPM?
选项
A.APT is a linear model.
B.APT is a factor model.
C.APT cannot use a market-related factor (CAPM beta is a market factor).
D.APT can use a small group of securities.
答案
D
解析
Both are linear factor models. In regard, to (C), APT can use market-related, macro, fundamental, firm-specific, and/or statistical factors. But (D) is a key difference: APT does not require that a market portfolio of all risky assets. Recall this requirement is a critical weakness of CAPM. The APT is marvelously flexible. We can concentrate on any desired group of stocks. Among any group of N stocks, there will be an efficient frontier for portfolios made up of the N risky stocks. 两者都是线性因子模型。 关于（C），APT可以使用与市场相关的，宏观的，基本的，公司特定的和/或统计因素。 但是（D）是主要区别：APT不需要所有风险资产的市场投资组合。回想一下此要求是CAPM的一个关键弱点。 APT非常灵活。 我们可以专注于任何所需的股票组。 在任何N组股票中，由N个风险股票组成的投资组合都将具有有效的边界