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真題題目：
Charlie Smith holds two portfolios, Portfolio X and Portfolio Y. They areboth liquid, well-diversified portfolios with approximately equal market values. He expects Portfolio X to return 13% and Portfolio Y to return 14%over theupcoming year. Because of an unexpected need for cash, Smith is forcedtosell
at least one of the portfolios. He uses the security market line to determinewhether his portfolios are undervalued or overvalued. Portfolio X’s beta is 0.9and Portfolio Y’s beta is 1.1. The expected return on the market is 12%andtherisk-free rate is 5%. Smith should sell: (保留)
A. portfolio Y only.
B. portfolio X only.
C. both portfolios X and Y because they are both overvalued.
D. either portfolio X or Y because they are both properly valued.
FRM歷年真題真題解析：
Answer:A
Portfolio X’s required return is 0.05 + 0.9 × (0.12-0.05) = 11.3%. It is expected toreturn 13%. The portfolio has an expected excess return of 1.7%
Portfolio Y’s required return is 0.05 + 1.1 × (0.12-0.05) = 12.7%. It is expected toreturn 14%. The portfolio has an expected excess return of 1.3%. Since both portfolios are undervalued, the investor should sell the portfolio that offers
less excess return. Sell Portfolio Y because its excess return is less than that of PortfolioX.
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