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.

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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.

单项选择题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.