问一道题：NO.PZ2016070702000003

问题如下：

An analyst at CAPM Research Inc. is projecting a return of 21% on Portfolio A. The market risk premium is 11%, the volatility of the market portfolio is 14%, and the risk-free rate is 4.5%. Portfolio A has a beta of 1.5. According to the capital asset pricing model, which of the following statements is true?

选项：

The expected return of Portfolio A is greater than the expected return of the market portfolio.

The expected return of Portfolio A is less than the expected return of the market portfolio.

The return of Portfolio A has lower volatility than the market portfolio.

The expected return of Portfolio A is equal to the expected return of the market portfolio.

解释：

A is correct. According to the CAPM, the required return on Portfolio $R_F+\beta{\lbrack E{(R_M)}-R_F\rbrack}$ = 4.5 + 1.5ⅹ11= 21% indeed. Because the beta is greater than 1, it must be greater than the expected return on the market, which is 15.5%. Note that the question has a lot of extraneous information.