答案和详解如下： Q58. C Study Session I2-54-f Beta is the covariance of an asset with the market portfolio divided by the variance of the market portfolio. The variance of the market portfolio is the same for all assets, so if the covariance with the market portfolio is the same, the assets must have the same beta (amount of systematic risk), should plot at the same place on the SML, and have the same required rate of return. If the estimated rates of return for the two assets are different, at least one of them is not properly valued and will not plot on the SML. | 
发表于 2007-10-30 02:54
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