单选题 From a theoretical perspective, even though the assumption that investors can borrow and lend at the same (risk-free) rate is violated, a straight-line capital market line can still be constructed if: A. investors are risk neutral. B. there are no transaction costs. C. a zero-beta portfolio exists and yields more than the risk-free rate.

【正确答案】 C

【答案解析】The introduction of a zero-beta (no systematic risk) portfolio with a return that is higher than the risk-free rate can result in a straight CML even with the assumption that borrowing and lending rates are different.