Financial Risk Manager Part 1
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Two risk analysts are discussing the efficient frontier following a presentation on the different measures of financial risk. According to the CAPM, which of the following statements is correct with respect to the efficient frontier?
Two risk analysts are discussing the efficient frontier following a presentation on the different measures of financial risk. According to the CAPM, which of the following statements is correct with respect to the efficient frontier?
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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.
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