题目
Which of the following is a DIFFERENCE between the capital asset pricing model (CAPM) and the capital market line (CML)
选项
A.The CML does not include the risk-free asset, but CAPM does.
B.CAPM is a special case of the CML, where the portfolio is diversified and efficient.
C.In CAPM, risk is systematic (beta) since it can apply to inefficient portfolios; but in CML, risk is total (volatility) since it only includes efficient portfolios.
D.CAPM assumes the portfolio is diversified and efficient, but CML allows for un-diversified and/or inefficient portfolios.
答案
C
解析
In regard to B, the inverse is true: CML is a special case of SML (CAPM) where the portfolio is efficient and perfectly correlated to the market portfolio.关于B，反之亦然：CML是SML（CAPM）的特例，其中投资组合有效且与市场投资组合完美相关。