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AvenYu · 2024年08月11日

B选项

  1. CFA I
  2. Portfolio

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选项虽然是beta衡量，但是beta不是也跟sd相关吗？风险越高，beta越大，算出来的return不是越高吗？

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1 个答案

Kiko_品职助教 · 2024年08月12日

嗨，爱思考的PZer你好：


beta跟SD是两个概念。beta是专门衡量系统性风险的。SD衡量的是总风险。这道题问的是CAPM，从CAPM公式我们也可以知道，他衡量得是系统性风险。所以SD是可以直接排除的。

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