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【风险管理基础&定量】FRM一级每日试题精选

发表时间:2015-03-17 来源:金程frm 告诉小伙伴:
【编者按】【风险管理基础&定量】FRM一级每日试题精选。The return of portfolio A is 25%, the market risk premium is 13%, the volatility of the market portfolio is 14%, and the risk-free rate is 5.5%. Portfolio A has a beta of 1.5. According to the capital asset pricing

【风险管理基础&定量】FRM一级每日试题精选

The return of portfolio A is 25%, the market risk premium is 13%, the volatility of the market portfolio is 14%, and the risk-free rate is 5.5%. Portfolio A has a beta of 1.5. According to the capital asset pricing model, which of the following statements is true?
  1. The expected Return of Portfolio A is less than the expected return of the market portfolio.
  2. The expected return of Portfolio A is greater than the expected return of the market portfolio.
  3. The return of Portfolio A has lower volatility than the market portfolio.
  4. The expected return of Portfolio A is equal to the expected return of the market portfolio.

Answer: B

According to the CAPM, the required return of Portfolio A is

While the expected return on the market is

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

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