现有Linear Factor Model: R=a+b1*f1+b2*f2+e (R是asset's return, a是asset's expected return, f1是unemployment rate, f2是market risk, e是error term)。并且a满足APT模型关系： a= rf+b1*RP1+b2*RP2 (a是asset's expected return, rf是risk-free rate, RP1和RP2分别是因子unemployment rate和market risk的risk premium)
问题：讨论并证明系数b1和b2的正负
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发表于 2012-6-15 11:00
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