试题与答案

根据下述材料。回答53~55题: 假设甲、乙、丙三个证券组合满足单因素模型。其中,

题型:单项选择题

题目:

根据下述材料。回答53~55题:
假设甲、乙、丙三个证券组合满足单因素模型。其中,E(Ri)=10%。

甲、乙、丙三个证券组合的β值和预期回报如表7-4所示,则( )。
表7-4 证券组合的β值和预期回报

证券
β0.851.151.25
预期回报14.5%15.0%18.6%

A.甲不在套利线上

B.乙不在套利线上

C.丙不在套利线上

D.三者都在套利线上

答案:

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