单选题 The risk-free rate is 5% and the expected market risk premium is 10%. A portfolio manager is projecting a return of 20% on a portfolio with a beta of 1.5. After adjusting for risk, this portfolio is expected to:

A、 equal the market"s performance.
B、 outperform the market.
C、 underperform the market.

【正确答案】 A

【答案解析】Based on the CAPM, the portfolio should earn: E(R)=0.05+1.5×0.10=20%. On a risk-adjusted basis, this portfolio lies on the security market line (SML) and thus is earning the proper risk-adjusted rate of return.