题目
James Tulsma, FRM, is analyzing a publicly traded firm and is using the company's beta, the risk-free rate of return, and the expected return on the market to estimate the company's required rate of return. He is somewhat concerned that the underlying assumptions of this technique are not realistic. Which of the following statements is an assumption of the capital asset pricing model (CAPM)?
选项
A.Investors minimize their expected utility of wealth at the end of the period.
B.Investors are risk-neutral.
C.Investors are only concerned with the mean and standard deviation of returns.
D.Assets are not divisible.
答案
C
解析
The capital asset pricing model (CAPM) assumes the following:? Investors desire to maximize their expected utility of wealth at the end of next period.? Investors are risk averse.? Investors are only concerned with the mean and standard deviation of returns.? Assets are fully divisible.资本资产定价模型（CAPM）假定以下条件：?投资者希望在下一期末最大限度地发挥其预期的财富效用。?投资者规避风险。?投资者仅关注收益的均值和标准差。?资产是完全可分割的。