習(xí)題：
　　Exercise：
　　All of the following are assumptions of the CAPM except:
　　A.     Each investor seeks to maximize the expected utility of wealth at the end of that investor’s horizon.
　　B.     Investors can borrow and lend at the same risk-free rate.
　　C.    Investors have the same expectations concerning returns.
　　D.    The time horizons of investors are normally distributed.
　　解析：
　　Answer: D
　　Explanation: The CAPM assumes that investors all have the same horizon (as well as expectations). This means that the distribution of the horizons is not normal because normality implies a bell-shaped curve distribution, which would have a positive variance and hence, dispersion.
　　知識點：
　　CAPM Assumptions
　　1.    Investors seek to maximize the expected utility of their wealth at the end of the period, and all investors have the same investment horizon.
　　2.    Investors are risk averse.
　　3.    Investors only consider the mean and standard deviation of return (which implicitly assumes the asset returns are normally distributed).
　　4.    Investors can borrow and lend at the same risk-free rate.
　　5.    Investors have the same expectations concerning returns.
　　6.    There are neither taxes nor transactions costs, and assets are infinitely divisible. This is often referred to as “perfect markets”
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