I think it is easier to use treynor-black theory to understand A. You can short riskier assets(adding riskier assets does not mean 'long') in negative alpha shocks to increase the total portfolio return.

CAPM(SML) and APT models are equilibrium-pricing models that assume no arbitrage opportunities (choice C).

CML is only valid for efficient portfolio, not security.

I hope my understanding is right.

同意＃3楼，因为δp2=ωA2δA2+ωB2δB2+ωAδAωBδBρAB

[此贴子已经被作者于2009-5-20 17:37:20编辑过]

以下是引用bettycen在2009-5-20 17:24:00的发言：
这样好像还比较合理，但是具体是δp2=ωA2δA2+ωB2δB2+2*ωAδAωBδBρAB还是δp2=ωA2δA2+ωB2δB2+ωAδAωBδBρAB？

哦，确实有2，可能我忘记写了δp2=ωA2δA2+ωB2δB2+2*ωAδAωBδBρAB

[此贴子已经被作者于2009-5-21 9:16:08编辑过]