First of all, there is something wrong with the understanding of alpha coefficient: the yield of individual stocks calculated according to CAPM single factor model is called "fair rate of return", and the difference between the actual expected yield of individual stocks and the fair rate of return is called alpha coefficient, which reflects the difference between the theoretical value and the expected value. Since the calculation of theoretical value is related to the market, alpha is also related to the market. Different investors have different judgments on the expected rate of return, so the alpha coefficient varies from person to person. Generally speaking, if the market prices a stock too low, the expected return will be greater, and the alpha is positive. The greater the value, the more the stock price is undervalued. For question 1, if the market prices each stock reasonably, then the alpha is , so if the alpha is not , we can see the abnormal return on investment in the market. For question 2, the portfolio is a combination of some stocks in the market that can really reduce risks and improve returns (only involving the risk and Beta coefficient of stocks, which has nothing to do with the price of stocks), and it is called an effective portfolio. The stocks excluded from the effective portfolio are considered to have no investment value (only from the perspective of risk and fair return). In the single-factor model, the stocks refer to all stocks (that is, stocks outside the effective portfolio). If the price of stocks is underestimated,