NO.PZ2015121802000051
问题如下:
Which of the following statement is most accurate about the capital asset pricing model (CAPM)?
选项:
A.
An risk-averse investor should at least hold some of the risk-free asset in his portfolio.
B.
A high-risk stock which is measured as standard deviation of returns will have high expected returns in equilibrium.
C.
All investors who take on risk will hold the identical risky asset in their portfolios.
解释:
C is correct.
Statement C is one of the CAPM's assumptions. A risk-averse investor would accept more risk only when a higher expected return is guaranteed. The CAPM assumes all investors are risk-averse.
我可以理解为SML与EF切点以上的点是没有持有无风险资产只是以无风险利率融资吗