In his famous critique of the CAPM,Roll argued that the CAPM ______________.
A) is not testable because the true market portfolio can never be observed
B) is of limited use because systematic risk can never be entirely eliminated
C) should be replaced by the APT
D) should be replaced by the Fama French 3 factor model

Question

Quizplus · Accepted Answer

Roll's critique of the CAPM is that it is not testable because the true market portfolio, which should include all assets, can never be observed or accurately measured.

In His Famous Critique of the CAPM,Roll Argued That the CAPM