单选题 The security market line(SML) will resemble a band with fairly tight upper and lower bounds if the following assumptions are made. Which of the following should not be included in this list? A. Transaction costs. B. Differences in investor tax brackets. C. Unequal borrowing and lending rates.

【正确答案】 C

【答案解析】If investors have heterogeneous expectations and multiple planning periods, transaction costs are not assumed to be zero, or differences in tax brackets are present, the SML becomes a band rather than a line. Differences in borrowing and lending rates can be assumed to be appropriate and used in the construction of the capital market line (CML). The result is a CML that is bent around the market portfolio. The portion of the CML connecting the risk-free asset and market portfolio will have a steeper slope than the portion of the CML extending beyond the market portfolio.