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"Portfolio Management":market risk premium
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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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