NO.PZ2023091901000028
问题如下：
Two risk analysts are discussing the efficient frontier following a presentation on the different measures of financial risk. According to the CAPM, which of the following statements is correct with respect to the efficient frontier?
选项：
A.The capital market line always has a positive slope and its steepness depends on the market risk premium and the volatility of the market portfolio.
The capital market line is the straight line connecting the risk-free asset with the zero beta minimum variance portfolio
Investors with the lowest risk aversion will typically hold the portfolio of risky assets that has the lowest standard deviation on the efficient frontier.
The efficient frontier allows different individuals to have different portfolios of risky assets based upon their individual forecasts for asset returns
解释：
Explanation: The capital market line connects the risk-free asset with the market portfolio, which is the efficient portfolio at which the capital market line is tangent to the efficient frontier. The equation of the capital market line is as follows:
where the subscript e denotes an efficient portfolio. Since the shape of the efficient frontier is dictated by the market risk premium, RM-RF, and the volatility of the market, the slope of the capital market line will also be dependent on these two factors.
如题
