题目 Portfolio A has an expected return of 8%, volatility of 20%, and beta of 0.5. Assume that the market has an expected return of 10% and volatility of 25%. Also assume a risk-free rate of 5%. [...]
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. [...]
题目 Which of the following statements about portfolio risk and diversification is least accurate? 选项 A.Not all risk is diversifiable. B.Unsystematic risk can be substantially reduced by [...]
题目 In order for CAPM to hold, markets must exhibit the STRONG form of efficiency; is it NOT enough that markets are weak- or semi-strong efficient. Which assumption is the key to achieving the [...]
题目 The efficient frontier is defined by the set of portfolios that, for each volatility level, maximizes the expected return. According to the capital asset pricing model (CAPM), which of the [...]
题目 A portfolio, invested in two assets with equal weights, has a volatility of 11.18% when the covariance (and correlation) between the asset returns is zero. If the covariance increases from [...]
题目 Which of the following statements about systematic and unsystematic risk is least accurate? 选项 A.The unsystematic risk for a specific firm is similar to the unsystematic risk for other [...]
题目 Patricia Franklin makes buy and sell stock recommendations using the capital asset pricing model. Franklin has derived the following information for the broad market and for the stock of the [...]
题目 Which of the following is strictly true about the standard version of the capital asset pricing model (CAPM)? 选项 A.The security market line (SML) states that the expected return on any [...]
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 [...]
