问题如下:
Assume the riskless interest rate is r = 5% and the market portfolio is characterized by an expected return of E(RM) = 13% and a standard deviation of return of σM = 15%. The expected return on a zero-beta security is 7%. Is the market in equilibrium?
解释:
E(Ri) = r + [E(RM) - r] βi
βi= 0 means that in equilibrium E(Ri) = r = 5%
The market is not in equilibrium.