单选题 Which of the following is most likely to result in a capital market line (CML) that is not a straight line? A. Investors' risk tolerance decreasing. B. Borrowing rate exceeds the lending rate. C. Increase in the proportion of the portfolio invested in the risk-free asset.

【正确答案】 B

【答案解析】One of the key assumptions of the CAPM is the ability of investors to lend and borrow at the risk-free rate. This assumption is what makes the CML a straight line. Investors can lend all they want by buying investments at the risk-free rate, but investors must pay a premium over the risk-free rate to borrow. Unequal borrowing and lending rates put a kink in the CML.