套利定价理论和组合投资 aPt Well-Diversified portfolios E(rp+bF+ F=一些因素 some factor 对完善的资产组合 For a well-diversified portfolio ep约为零 approaches zero 类似 CAPM Similar to capm 12-712-7 套利定价理论和组合投资 APT & Well-Diversified Portfolios rP = E (rP) + bPF + eP F = 一些因素 some factor 对完善的资产组合 For a well-diversified portfolio: eP 约为零 approaches zero 类似CAPM Similar to CAPM