题目
According to CAPM, what is the expected return of diversifiable (idiosyncratic) risk?
选项
A.Zero
B.Beta
C.Beta × Excess Market Return
D.Riskless rate + (Beta × Excess Market Return)
答案
A
解析
The CAPM is a SINGLE-FACTOR model that says expected return is a function of SYSTEMIC RISK (beta); in the diversified portfolio, unsystematic risk is eliminated and receives no compensation. The unsystematic risk, which is also called the diversifiable risk, is not rewarded by the market. In fact, it can be eliminated by constructing diversified portfolios. The correct measure of risk for an individual asset is therefore the beta, and its reward is called the risk premium. The asset betas can be aggregated: the beta of a portfolio is obtained as a linear combination of the betas of the assets that make up the portfolio. According to the CAPM, the diversifiable risk component of each security is zero at equilibrium.CAPM是一个单因素模型，该模型表示预期收益是系统性风险（β）的函数； 在多元化的投资组合中，非系统性风险得以消除，并且不会获得任何补偿。 非系统性风险，也称为分散风险，不会被市场回报。 实际上，可以通过构建多元化的投资组合来消除它。 因此，针对单个资产的正确风险度量是beta，其报酬被称为风险溢价。 资产贝塔值可以加总：资产组合的贝塔值是构成资产组合的资产贝塔值的线性组合。 根据CAPM，每个证券的可分散风险成分在均衡时为零。