标题: APT and market model [打印本页] 作者: MarginofSafety 时间: 2011-7-11 15:19 标题: APT and market model
Just a little tid bit
The value computed in APT is used as interceptin multifactor models. So APT gives you what the return SHOULD BE (based on RFR and factor sensitivities). Then use that in multifactor models as the intercept, meaning the intercept is just the expected return. The multifactor model will adjust this "expected return" for surprises in certain relevant economic indicators like GDP and inflation.作者: wilslm 时间: 2011-7-11 15:19
I thought that was for a Macroeconomic Factor model?作者: senlinlang 时间: 2011-7-11 15:19
thats right...CFAI says macroeconomic models are a TYPE of multifactor model...along with fundamental and statistical factor models.....
