NO.PZ2020021002000109
问题如下：
According to CAPM, the higher the variance of a security, the higher its expected return.
选项：
A.
True
B.
False
解释：
False:
A security may have a high variance of
returns but still have a low expected return because of its low (or even
negative) covariance with the market portfolio.
中文解析：根据CAPM的结论，一种证券可能有很高的回报方差，但仍然有较低的预期回报，因为它与市场投资组合的协方差较低。
和covariance有什么关系？
