题目
Jim manages a well-diversified portfolio containing forty stocks. The portfolio has a beta of 1.05. Jim is considering adding the stock of ABC Inc. to the portfolio, and would fund the purchase with cash already in the portfolio. ABC Inc. has a beta of 1.20, and is currently not part of the portfolio. Which statement about the resulting portfolio is TRUE?
选项
A.Systematic risk would increase, but the unsystematic risk would be unchanged.
B.Systematic risk would decrease, but the unsystematic risk would be unchanged.
C.Both systematic risk and unsystematic risk would be unchanged.
D.Both systematic risk and unsystematic risk would both increase.
答案
A
解析
Since the portfolio is well diversified, the assumed level of unsystematic risk is zero. The addition of ABC Inc will increase the portfolio beta, and, hence, the level of systematic risk.由于投资组合非常分散，因此非系统性风险的假定水平为零。 ABC Inc的加入将增加投资组合的beta，从而提高系统风险水平。