NO.PZ2015121802000051
问题如下:
Which of the following statement is most accurate about the capital asset pricing model (CAPM)?
选项:
A.
An risk-averse investor should at least hold some of the risk-free asset in his portfolio.
B.
A high-risk stock which is measured as standard deviation of returns will have high expected returns in equilibrium.
C.
All investors who take on risk will hold the identical risky asset in their portfolios.
解释:
C is correct.
Statement C is one of the CAPM's assumptions. A risk-averse investor would accept more risk only when a higher expected return is guaranteed. The CAPM assumes all investors are risk-averse.
请问其他两个选项错在哪里