Chapter 6, Multifactor Models of Risk-Adjusted Asset Returns Practice Question Set contains 34 pages covering the following learning objectives:
* Explain the arbitrage pricing theory (APT), describe its assumptions, and compare the APT to the CAPM.
* Describe the inputs (including factor betas) to a multifactor model.
* Calculate the expected return of an asset using a single-factor and a multifactor model.
* Explain models that account for correlations between asset returns in a multi-asset portfolio.
* Explain how to construct a portfolio to hedge exposure to multiple factors.
* Describe and apply the Fama-French three-factor model in estimating asset returns.Shop Courses