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【单选题】

In the context of the Capital Asset Pricing Model (CAPM), the relevant measure of risk is

A.
unique risk.
B.
beta.
C.
standard deviation of returns.
D.
variance of returns.
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参考答案：
参考解析：
.
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【简答题】Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard de...
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【简答题】Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard de...
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【简答题】A security has an expected rate of return of 0.10 and a beta of 1.1.The market expected rate of return is 0.08 and the risk-free rate is 0.05. The alpha of the stock is __%.
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【单选题】Which statement is not true regarding the market portfolio? ()
A.
It includes all publicly-traded financial assets.
B.
It lies on the efficient frontier.
C.
All securities in the market portfolio are held in proportion to their market values.
D.
It is the tangency point between the capital market line and the indifference curve.
E.
All of the options are true.
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【单选题】Which statement is true regarding the market portfolio? ()I) It includes all publicly traded financial assets.II) It lies on the efficient frontier.III) All securities in the market portfolio are held...
A.
I only
B.
II only
C.
III only
D.
IV only
E.
I, II, and III
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【单选题】In the context of the Capital Asset Pricing Model (CAPM), the relevant risk is ( )
A.
unique risk.
B.
systematic risk.
C.
standard deviation of returns.
D.
variance of returns.
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【单选题】Which statement is not true regarding the capital market line (CML)?
A.
The CML is the line from the risk-free rate through the market portfolio.
B.
The CML is the best attainable capital allocation line.
C.
The CML is also called the security market line.
D.
The CML always has a positive slope.
E.
The risk measure for the CML is standard deviation.
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【单选题】Which statement is true regarding the capital market line (CML)?I) The CML is the line from the risk-free rate through the market portfolio.II) The CML is the best attainable capital allocation line.I...
A.
I only
B.
II only
C.
III only
D.
IV only
E.
I, II, and IV
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【单选题】The capital asset pricing model assumes ()
A.
all investors are price takers.
B.
all investors have the same holding period.
C.
investors have homogeneous expectations.
D.
all investors are price takers and have the same holding period.
E.
all investors are price takers, have the same holding period, and have homogeneous expectations.
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【单选题】The security market line (SML) is
A.
the line that describes the expected return-beta relationship for well-diversified portfolios only.
B.
also called the capital allocation line.
C.
the line that is tangent to the efficient frontier of all risky assets.
D.
the line that represents the expected return-beta relationship.
E.
All of the options.
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