An analyst in CAPM Research Inc. is projecting a return of 21% on portfolio A. Portfolio A has a beta of 1.5.The market risk premium is 11%, the volatility of the market portfolio is 14%, and the risk-free rate is 4.5%. According to the CAPM, which of the following statements is not wrong?
　　A.       The expected return of portfolio A is equal to the expected return of the market portfolio.
　　B.        The expected return of portfolio A is greater than the expected return of the market portfolio.
　　C.        The expected return of portfolio A is less than the expected return of the market portfolio.
　　D.       The return of Portfolio A has lower volatility than 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.