Which of the following is false about the security market line (SML)derived from the APT?
A)The SML has a downward slope.
B)The SML for the APT shows expected return in relation to portfolio standard deviation.
C)The SML for the APT has an intercept equal to the expected return on the market portfolio.
D)The benchmark portfolio for the SML may be any well-diversified portfolio.
E)A,B,and C are false.

Question

Quizplus · Accepted Answer

All three statements are false. The SML derived from the APT does not have a downward slope, it does not show expected return in relation to portfolio standard deviation, and it does not have an intercept equal to the expected return on the market portfolio. The benchmark portfolio for the SML must be the market portfolio.

Which of the Following Is False About the Security Market