"Portfolio Management":market risk premium

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來(lái)源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2021/01/04 11:55:57　字體：大小

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Questions 1:

The point of tangency between the capital allocation line (CAL) and the efficient frontier of risky assets most likely identifies the:

A 、optimal risky portfolio.

B 、optimal investor portfolio.

C、 global minimum-variance portfolio.

Questions 2:

The slope of the security market line is best derived from the:

A、 risk-free rate of return.

B 、beta of the security.

C、 market risk premium.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. The optimal risky portfolio lies at the point of tangency between the capital allocation line and the efficient frontier of risky assets.

B is incorrect. The optimal investor portfolio lies at the point of tangency between the investor’s indifference curve and the capital allocation line.

C is incorrect. The global minimum-variance portfolio is the left-most point on the minimum-variance frontier.

【Answer to question 2】C

【analysis】

C is correct. The security market line is a graphical representation of the CAPM with beta on the x-axis and expected return on the y-axis. The slope of the line is given by the market risk premium, the difference between the equity market return and the riskfree rate of interest.

A is incorrect. The risk-free rate of return marks the intercept term of the security market line.

B is incorrect. The beta of the security is shown on the x-axis.

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