如题

问题如下：

Question The capital market line most likely consists of portfolios that:

选项：

A.are fully diversified. B.have zero systematic risk. C.have nonsystematic risk equal to beta.

解释：

Solution

1. Correct because the capital market line (CML) does not apply to all securities or assets but only to portfolios on the efficient frontier. The efficient frontier gives optimal combinations of expected return and total risk. Total risk and systematic risk are equal only for efficient portfolios because those portfolios have no diversifiable risk remaining. Thus, the CML holds only for well-diversified portfolios.

2. Incorrect because the nonsystematic risk of the market portfolio is zero, but not its systematic risk. Because nonsystematic risk is zero for well-diversified portfolios, such as the market portfolio, the total risk of a market portfolio and other similar portfolios is only systematic risk, which is β_iσ_m. Therefore, portfolios on the CML have zero nonsystematic (not systematic) risk.

3. Incorrect because the total risk of a market portfolio and other similar portfolios is only systematic risk, which is β_iσ_m. Therefore, portfolios on the CML have nonsystematic risk equal to zero, not beta.

Portfolio Risk and Return: Part II

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