题目
Which of the following is least likely to be one of the inputs to a multifactor model?
选项
A.The mean-variance efficient market portfolio
B.Factor betas
C.Deviation of factor values from their expected values
D.Firm-specific returns
答案
A
解析
The mean-variance efficient market portfolio is essential to the capital asset pricing model, but is not required in multifactor models.均值——方差有效的市场投资组合对于资本资产定价模型至关重要，但在多因素模型中则不是必需的。