题目
A security’s systematic risk is proportional to：
选项
A.the covariance of its return with the return on the market portfolio.
B.the standard deviation of its return.
C.the variance of its return.
D.its diversifiable risk.
答案
A
解析
The measure of systematic risk is beta, and beta is proportional to the covariance of a security’s return with the return on the market portfolio.系统风险的度量是beta，β与证券收益与市场投资组合收益的协方差成正比。