单项选择题

Which one of the following statements about correlation is FALSE（）

A. Positive covariance means that asset returns move together.
B. If two assets have perfect negative correlation, it is impossible to reduce the portfolio’s overall variance.
C. The covariance is equal to the correlation coefficient times the standard deviation of one stock times the standard deviation of the other stock.

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单项选择题Which of the following is NOT an assumption of the Markowitz Portfolio Theory Investors:（）

A. view the mean of the distribution of returns as capturing the expected return.
B. maximize their expected utility over a given investment horizon.
C. view the range of the distribution of returns as capturing risk.

单项选择题Which statement is most correct about the Security Market Line (SML)（）

A. The SML is a theoretical, long run relationship and therefore never changes.
B. The SML will get a steeper slope if inflation is expected to decrease, reflecting the fact that riskier investments benefit most from reductions in inflation.
C. The SML will get a steeper slope if investors become more risk-averse, indicating that investors will demand a higher risk premium when their risk aversion increases.