题目
Which component is NOT in the APT model?
选项
A.Factor exposure
B.Factor return
C.Factor correlations
D.Specific (idiosyncratic) return
答案
C
解析
APT gives expected return (first moment) as a linear combination of factors in which correlation does not enter; rather, correlation impacts variance/volatility (second moment). APT给出了预期收益（一阶矩），该收益是不涉及相关性的因素的线性组合；相反，相关性会影响方差/波动率（二阶矩）。