题目
In regard to the derivation of the capital asset pricing model (CAPM), each of the following is true EXCEPT for:
选项
A.All investors will hold combinations of only two portfolios: the Market portfolio (M) and a Riskless security. This is called the "two mutual fund theorem" because all investors would be satisfied with a market fund, plus the ability to lend or borrow a riskless security.
B.All portfolios and risky assets must lie on the capital market line (CML).
C.In equilibrium, the Market portfolio lies at the tangency point between the original efficient frontier of risky assets and a straight line passing through the riskless return.
D.The security market line (SML) implies: the relationship between the expected return on any two assets can be related simply to their difference in Beta; the higher Beta is for any security, the higher must be its equilibrium return; and the relationship between Beta and expected return is linear.
答案
B
解析
All investors will end up with portfolios somewhere along the capital market line and all efficient portfolios would lie along the capital market line. However, not all securities or portfolios lie along the capital market line. In fact, from the derivation of the efficient frontier, we know that all portfolios of risky and riskless assets, except those that are efficient, lie below the capital market line.所有投资者最终都将沿着资本市场线找到某个投资组合，而所有有效的投资组合都将沿着资本市场线出现。 但是，并非所有证券或投资组合都位于资本市场上。 实际上，从有效边界的推导中，我们知道，除有效资产外，所有有风险和无风险资产的投资组合都位于资本市场线以下。