单选题 Which of the following statements concerning the security market line (SML) and the capital market line (CML) is true?

A、 All portfolios are expected to lie on the CML.
B、 All securities are expected to lie on the CML.
C、 All securities are expected to lie on the SML.

【正确答案】 C

【答案解析】All securities, and portfolios of securities, lie on the SML. Only the market portfolio is necessarily on the CML. The CML relates total risk (σ ² ) to expected returns, not beta.