習(xí)題：
Exercise：
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?
A. The expected return of Portfolio A is greater than the expected return of the market portfolio.
B. The expected Return of Portfolio A is less than the expected return of the market portfolio.
C. The return of Portfolio A has lower volatility than the market portfolio.
D. The expected return of Portfolio A is equal to the expected return of the market portfolio
解析：
Answer: A
Explanation: 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.
知識(shí)點(diǎn)：
Capital Asset Pricing Model (CAPM)
The CAPM is used to determine a theoretically appropriate required rate of return of an asset. The model takes into account the asset‘s sensitivity to undiversifiable risk (beta), as well as the expected return of the market and the expected return of a theoretical risk-free asset.
Note: is sometimes known as the market risk premium.
高頓網(wǎng)校為考生準(zhǔn)備了史上最全的FRM考試備考指南，輕松學(xué)習(xí)，簡(jiǎn)單、高效，讓考試So Easy！了解詳情
高頓網(wǎng)校為考生準(zhǔn)備了史上最全的FRM考試備考指南，輕松學(xué)習(xí)，簡(jiǎn)單、高效，讓考試So Easy！了解詳情
