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Irene · 2021年12月26日

这道题是不是应该问SML

NO.PZ2018070201000087

问题如下:

According to the capital market theory, which of the following statements about the pricing of risk is most accurate?

选项:

A.

In capital market theory, all risk is priced.

B.

In capital market theory, only systematic risk is priced.

C.

In capital market theory, only nonsystematic risk is priced.

解释:

B is correct.

In the capital market theory, only systematic risk is priced. Bearing nonsystematic risk cannot bring any additional return.

在CML中考虑的是total risk 在SML中考虑的只有系统风险 不是吗
1 个答案

Kiko_品职助教 · 2021年12月28日

嗨,从没放弃的小努力你好:


CML可以诠释capital market theory,但意思并不是系统与非系统风险结合,这条线上的点是市场组合和无风险资产组合形成的最优资产配置线,非系统性风险已经消除。capital market theory包括CAPM的前提都是我们假设非系统性风险是可以通过不同的投资组合被分散掉的。所以非系统性风险不需要额外的风险补偿,只有系统性风险是分散不掉的,我们需要提供额外的风险补偿。这道题就是这个意思。所以选择B,他说只有系统性风险是被要求额外定价的。

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努力的时光都是限量版,加油!

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NO.PZ2018070201000087问题如下Accorng to the capitmarket theory, whiof the following statements about the pricing of risk is most accurate?A.In capitmarket theory, all risk is priceB.In capitmarket theory, only systematic risk is priceC.In capitmarket theory, only nonsystematic risk is priceB is correct.In the capitmarket theory, only systematic risk is price Bearing nonsystematic risk cannot bring any aitionreturn.我一开始以为CapitMarket theory 就是指CML线,后来发现不是的,所以1、Capitmarket theory到底包含了什么内容2、讲义中有相关内容吗?3、capitmarket theory 和Capm有什么区别吗?

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NO.PZ2018070201000087 、如题。。。。。。。。。。。。。

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