一个资产的预计收益是10.6%，根据CAPM模型计算得到的收益是10.94%，因此应该得到该资产被overvalued的结论，但是A选项是sell (or sell short)the risky asset because its expected return is less than equilibrium expected return on the market portfolio.C选项是sekk (or sell short)the risky asset because its expected return is not sufficient to compensate for its systematic risk.正确答案是C，可是小弟不知道为什么A错误，求各位大神指教作者: fvpf2469146 时间: 2014-3-3 13:07
我觉得是CAPM计算的是expected return of a certain asset, 不是market return.选项A说的是和equilibrium expected return on the market portfolio相比较。作者: qnn549 时间: 2014-3-3 13:08
