标题: 求助：09年的一道题 [打印本页]

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作者: siavosh    时间: 2012-6-15 10:47     标题: 求助：09年的一道题

An analyst at CAPM Research Inc. is projecting a return of 21% on Portfolio A. The market risk premium is 11%,the volatility of the market portfolio is 14%,and the risk-free rate is 4.5%. Portfolio A  has a beta of 1.5. According to the capital asset pricing model, which of the following statements is true?
A  The expecred return of Portfolio A is greater than the expected return of the market portfolio.

答案为什么是 ，greater 而不是equal？

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作者: canadiananalyst    时间: 2012-6-15 10:47

有人知道吗？

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作者: bbtomato    时间: 2012-6-15 10:47

The expecred return of Portfolio A=4.5+1.5*11=21%
expected return of the market =11+4.5=15.5
,so 21>15.5 ,the answer is A

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