题目
Sally Smith, FRM, is considering a switch in the theoretical basis of her risk model from a simple single-factor capital asset pricing model (CAPM) to a multi-factor arbitrage pricing theory (APT) model. To her manager, she claims the following differences between the two models. Each of her statements below is correct EXCEPT which is not?
选项
A.Compared to only one specific factor (i.e., market index) in the simple CAPM, the APT model will be able to recognize multiple systematic risk factors.
B.While the CAPM requires a mean-variance efficient market portfolio and assumes normally distributed returns, APT requires neither of these assumptions.
C.Although APT does not require several of the restrictive assumptions of the CAPM, it is largely silent on where to look for priced sources of risk.
D.In contrast to the simple CAPM, the APT cannot include the market index as a common factor, nor can it be extended over multiple periods.
答案
D
解析
Both components are false: APT can include the market portfolio as a common factor; and APT can be extended over multiple periodsIn regard to A, B and C, each is true.这两个成分都是错误的：APT可以将市场组合作为共同因素，并且APT可以延长多个时期。关于A，B和C，每个都是正确的。