单选题 Tobias Johansen, CFA, is currently fully invested in the market portfolio that lies on the capital market line (CML). Johansen desires to increase the expected return from his portfolio. Johansen is risk averse but willing to accept higher risk if he can increase the expected return from his portfolio. According to capital market theory, Johansen can meet his risk and return objectives best by: A. allocating a higher proportion of the portfolio to higher risk assets. B. borrowing at the risk-free rate to invest in the risky market portfolio. C. selling low-risk stocks short and invest the proceeds in higher-risk Stocks.

【正确答案】 B

【答案解析】Investing on margin in the market portfolio will raise both risk and expected returns. This strategy would be mean-variance efficient. Other strategies such as shifting a portion of total funds to higher risk assets would achieve the higher return goal but would leave the portfolio below the CML and thus would not be all optimal strategy.