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.
有回答C选项说“CAPM的假设说，所有投资者都有相同的预期homogeneous expectation，所以他们对所有股票的估值都相同，最后买的投资组合也相同，都是持有market portfoliooptimal risk portfolio= market portfolio。”。这是CAPM一个前提假设，但是beta的不同会导致不同individual的投资收益不同，那怎么理解大家都投 market portfolio，但是CAPM算出来的投资收益不同呢？按理说大家投的 market portfolio一样，最终获得的收益率应该是一样的呀？
可以这么理解，单个资产的beta可以看做这个资产和market portfolio的相关关系，所以不同资产的beta是不同的。所以才会利用capm给不同的资产进行定价