Which of the following statements regarding portfolio theory is least likely correct()
A. The covariance between the returns on a security and those of the overall market, divided by the variance of the market returns, is a measure of the security’s systematic risk.
B. All securities and portfolios plot on the SML when their prices are in equilibrium.
C. A security that lies on the CML must be priced at its equilibrium level.
参考答案:C
解析:
Points on the CML do not represent individual securities, but rather portfolios that contain a well diversified portfolio (the tangency portfolio) combined with either lending or borrowing at the risk-free rate.