An analyst has determined that the returns distribution of a risky asset, conditional on the performance of the overall economy, is: Return 5%，10%，14%"
Probability, 20%, 40%, 40%
The returns distribution of the overall market portfolio is: Return 2%,10%, 15% Probability,20%,40%, 40%
If the risk-free rate is 5% and the risky asset has a beta of 1.1, with respect to the market portfolio, the analyst should:
A. buy the risky asset because its expected rerum is higher than the expected rerum on the market. B. sell (or sell short) the risky asset because its expected return is less than equilibrium expected rerurn on the market portfolio. C. buy the risky asset because the analyst expects the rerum on it to be higher than its required return in equilibrium. D. sell (or sell short) the risky asset because its expected return is less than enough to compensate for its market risk.
发表于 2009-4-11 19:35
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