单选题
When a risk-free asset is combined with a portfolio of risky assets, will the
Standard deviation of the resulting portfolio Graph of the possible portfolio return and risk combinations
be a linear funtion of the standard deviation display increasing incremental return per unit
of the risky asset portfolio? of incremental resk change?
①A. YES NO
②B. YES YES
③C. NO YES
A. ①B. ②C. ③
【正确答案】
A
【答案解析】The variance of a portfolio consisting of a risky asset and a risky portfolio is: [*] Because the variance of the risk-free asset is zero, [*], the equation simplifies to: The standard deviation is : σPORT = ( 1 - ωRF )σ1 Thus the standard deviation of the portfolio is a linear function of the standard deviation of the risky asset portfolio. The resulting graph of possible portfolio return and risk combinations is also linear, meaning that it will display constant, not increasing, incremental return per unit of incremental risk change.