题目
CAPM assumptions: Which of the following is NOT an underlying assumption of the CAPM model?
选项
A.Investors only consider the first two moments of return distribution: the expected return and the variance
B.All investors have the same forecast return, variance and covariance expectations for all assets
C.All investors prefer to be fully invested in the market portfolio
D.Markets are perfect: there are no taxes and no transaction costs. All assets are traded and are infinitely divisible
答案
C
解析
The market portfolio is the MOST EFFICIENT mix of risky assets but the CAPM does not restrict all investors to prefer a beta of 1.0.市场投资组合是风险资产中最有效的组合，但CAPM并没有限制所有投资者选择beta为1.0。