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118. According to the Capital Asset Pricing Model (CAPM), the market portfolio:
A. includes all risky assets invested in equal amounts.
B. is exposed to both unsystematic and systematic risk.
C. is perfectly positively correlated with other portfolios on the CML.
Answer: B
B is correct. According to the CAPM the market portfolio is perfectly positively correlated with all other portfolio on the CML. All risky assets are included in the market portfolio in proportion to their market value, not in equal amounts. The market portfolio contains only systematic risk since it is completely diversified.
都这么说了还选B？ |
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发表于 2013-8-18 12:34
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