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.
C选项的考点是CAPM的假设，CAPM的假设之一是“Investors have homogeneous expectations or beliefs”，正因为所有投资者对市场、个股都有相同的预期，所以最终持有的风险资产都是相同的。
根据上面这句话，可不可以理解成有相同预期的投资者在CAPM模型里持有的风险资产=大盘被动投资？