Reading 51: An Introduction to Asset Pricing Models - LOS

答案和详解如下：

11.Which of Karabon’s statements about the market portfolio is least accurate?

A)   No portfolio along the Markowitz efficient frontier has a higher Sharpe ratio than the market portfolio.

B)   The CML and the Markowitz efficient frontier intercept at the market portfolio.

C)   The market portfolio is uninvestable.

D)   The risk of the market portfolio is measured in both standard deviation and systematic risk.

The correct answer was D)

The market portfolio’s risk is generally measured by standard deviation. Systematic risk is used to calculate the SML. All other statements are correct.

12.How does eliminating the ability to lend and borrow at the risk-free rate change the nature of the SML?

A)                                        Higher    Flatter

B)                                        Higher    No change

C)                                        Lower    No change

D)                                        Lower    Steeper

The correct answer was A)

In order to make the SML equation work, a zero-beta portfolio must exist. If we cannot borrow or lend at the risk-free rate, the zero-beta portfolio has a higher expected return than the risk-free rate, which makes the y-intercept higher. The higher return for the zero-beta portfolio also lowers, or flattens, the slope.

13.Which of the following statements regarding the Capital Asset Pricing Model is least accurate?

A)   Its accuracy depends upon the accuracy of the beta estimates.

B)   It is useful for determining an appropriate discount rate.

C)   It is when the security market line (SML) and capital market line (CML) converge.

D)   It relies on the existence of a risk-free asset.

The correct answer was C)    

The CML plots expected return versus standard deviation risk. The SML plots expected return versus beta risk. Therefore, they are lines that are plotted in different two-dimensional spaces and will not converge.