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题目 Which of the following statements concerning the capital asset pricing model （CAPM） and the security market line （SML） is correct? 选项 A.Beta identifies the appropriate level of [...]

题目 Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 5%, and the volatility of the return of the [...]

题目 Consider the expected returns and standard deviations for the following portfolios:「huixue_img/importSubject/1564170578330521600.png」Relative to the other portfolios, the portfolio that is [...]

题目 According to CAPM, what is the expected return of diversifiable (idiosyncratic) risk? 选项 A.Zero B.Beta C.Beta × Excess Market Return D.Riskless rate + (Beta × Excess Market Return) [...]

题目 Assume the slope of the security market line (SML) is 0.060 while the risk-free rate is 2.0%. What is the Treynor measure of a security with an alpha of 2.40% and beta of 0.30? 选项 A.0.140 [...]

题目 A security’s systematic risk is proportional to： 选项 A.the covariance of its return with the return on the market portfolio. B.the standard deviation of its return. C.the variance of [...]

题目 Assume that you are only concerned with systematic risk. Which of the following would be the best measure to use to rank order funds with different betas based on their risk-return [...]

题目 Assume the expected return on stocks is 18% (represented by Z in the figure), and the expected return on bonds is 8% (represented by point Y on the graph). The graph shows the portfolio [...]

题目 An analyst at CAPM Research Inc. is projecting a return of 21% on portfolio A. The market risk premium is 11%, the volatility of the market portfolio is 14%, and the risk-free rate is 4.5%. [...]

题目 Assume the following information for stocks A and B.*Standard deviation of returns on Stock A = 40%*Standard deviation of returns on Stock B = 50%*Expected return on Stock A = 18%*Expected [...]