NO.PZ2023091901000037
问题如下：
You are interested in constructing a portfolio
benchmarked to the S&P 500 with a standard deviation of returns less than
or equal to 10% per year. Assume the CAPM holds. If the risk-free rate is 2%
per year and the expected return on the S&P 500 is 8% per year with a
standard deviation of 25% per year, what is the highest expected return you
could achieve on your portfolio?
选项：
A.
4.4% per year
B.
5.2% per year
C.
6.0% per year
D.
6.8% per year
解释：
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