Question: Schweser Exam 3 Morning Seesion 114

atonalcadenza

请问这题的官方答案是否错了？谢谢。

114. An analyst determines that a portfolio with a 35% weight in Investment A, and a 65% weight in Investment B will have a standard deviation of returns equal to zero.

Investment a has an expected return of 8%.
Investment B has a standard deviation of returns of 7.1% and a covariance with the market of 0.0029.
The risk-free rate is 5% and the market risk premium is 7%.

If no arbitrage opportunities are available, the expected rate of return on the combined portfolio is closest to:

A: 5.0%
B: 6.0%
C: 7.0%
D: 8.0%


答案是A，但是我的解是D。我认为既然整个portfolio“standard deviation of returns equal to zero”，那么就是说Investment A和B的Return是一样的，都是8%，那么就选D了。

而且，把答案带回到题目中，也出现矛盾：

按照Investment A和B的比例，得出以下：
35% × 8% ＋ 65% × Rb = 5%
=> Return on B is 3.3846%
既然 risk-free rate is 5% and the market risk premium is 7%，两个数字都比 3.3846%大，代入CAPM公式，就说明B的Beta是负数。
B的Beta还有一种求法，就是covariance with the market of 0.0029除以market variance, market variance必须是正数，这样B的Beta就不可能满足答案D的5%Portfolio Return。