Regression model
多因子风险模型（Fama-French, APT）
因子风险模型是一个多因子框架，它将资产收益与市场、价值、规模和动量等系统性风险因子联系起来。Fama-French三因子和五因子模型（1993）以及Ross的套利定价理论（1976）分解了投资组合风险并检测了阿尔法。
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来源
- Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. DOI: 10.1016/0304-405X(93)90023-5 ↗
- Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13(3), 341-360. DOI: 10.1016/0022-0531(76)90046-6 ↗
如何引用本页
ScholarGate. (2026, June 1). Multi-Factor Risk Model (Fama-French, Arbitrage Pricing Theory). ScholarGate. https://scholargate.app/zh/finance/factor-risk-model
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