Study Notes: APT and Multifactor Models of Risk and Return

Chapter 6, APT and Multifactor Models of Risk and Return Study Notes contains 12 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 and explain the challenges of using multifactor models in hedging.
* Calculate the expected return of an asset using a single-factor and a multifactor model.
* 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.

After reviewing these notes, you will be able to apply what you learned with practice questions.

No Sample Available

Shop Courses