單項(xiàng)選擇題

According to the Capital Asset Pricing Model （CAPM），the market portfolio（）

A.includes all risky assets invested in equal amounts.
B.is exposed to both unsystematic and systematic risk.
C.is perfectly positively correlated with other portfolios on the CML.

你可能感興趣的試題

單項(xiàng)選擇題

Which of the following performance measures most likely relies on systematic risk as opposed to total risk when calculating risk-adjusted return？（）

A.M-squared
B.Sharpe ratio
C.Treynor ratio

單項(xiàng)選擇題

A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2.If the risk-free rate of return is 2.5% and the market return is 11.8%，Jensen’s alpha for the portfolio is closest to：（）

A.1.84%
B.4.34%
C.3.70%

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According to the Capital Asset Pricing Model （CAPM），the market portfolio（）

你可能感興趣的試題

Which of the following performance measures most likely relies on systematic risk as opposed to total risk when calculating risk-adjusted return？（）

A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2.If the risk-free rate of return is 2.5% and the market return is 11.8%，Jensen’s alpha for the portfolio is closest to：（）

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According to the Capital Asset Pricing Model （CAPM），the market portfolio（）

A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2.If the risk-free rate of return is 2.5% and the market return is 11.8%，Jensen’s alpha for the portfolio is closest to：（）