单选题 Which of the following is NOT an assumption of the Markowitz Portfolio Theory? Investors: A. view the mean of the distribution of returns as capturing the expected return. B. maximize their expected utility over a given investment horizon. C. view the range of the distribution of returns as capturing risk.

【正确答案】 C

【答案解析】Investors view the variance (or standard deviation) of the distribution as capturing the risk of the security, not the range of returns.