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.
正确答案是 D, 为什么不选B 呢？谢谢
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发表于 2009-4-12 20:49
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