题目
An analyst at CAPM Research Inc. is projecting a return of 21% on portfolio A. The market risk premium is 11%, the volatility of the market portfolio is 14%, and the risk-free rate is 4.5%. Portfolio A has a beta of 1.5. According to the capital asset pricing model, which of the following statements is true?
选项
A.The expected return of portfolio A is greater than the expected return of the market portfolio.
B.The expected return of portfolio A is less than the expected return of the market portfolio.
C.The return of Portfolio A has lower volatility than the market portfolio.
D.The expected return of portfolio A is equal to the expected return of the market portfolio.
答案
A
解析
According to the CAPM, the required return of Portfolio A is:「huixue_img/importSubject/1564170577302917120.png」While the expected return on the market is:market risk = premium Rf=11%＋4.5%=15.5%Therefore, the expected return of portfolio A is greater than the expected return of the market portfolio.