Financial Risk Manager Part 1
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Two risk analysts are attending a seminar on the topic of modern portfolio theory. One of the presentations in the seminar focuses on the efficient frontier, the capital market line, and the CAPM. Assuming the CAPM holds, which of the following observations is correct for the analysts to make?
Two risk analysts are attending a seminar on the topic of modern portfolio theory. One of the presentations in the seminar focuses on the efficient frontier, the capital market line, and the CAPM. Assuming the CAPM holds, which of the following observations is correct for the analysts to make?
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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.
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