Financial Risk Manager Part 1
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Assume the Capital Asset Pricing Model (CAPM) holds true. During a seminar focused on modern portfolio theory, specifically addressing the efficient frontier, the capital market line, and CAPM, which of the following statements would be accurate for the two risk analysts to consider?
A
The capital market line always has a positive slope and its steepness depends on the market risk premium and the volatility of the market portfolio.
B
The capital market line is the straight line connecting the risk-free asset with the zero-beta minimum-variance portfolio.
C
The portfolio of risky assets with the lowest standard deviation on the efficient frontier is typically held by the least risk averse investors.
D
The efficient frontier indicates that different individuals hold different portfolios of risky assets based upon their individual forecasts for asset returns.