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.
B的问题是什么意思,为什么错?
C跟课本的假设也不一样啊,觉得解析不对,课本上没有说风险爱好者要持有同样资产吧?