alleryStart learning →Which version of CAPM replaces the risk-free rate with the return of a zero-beta portfolio?
AConsumption CAPM
BAdjusted beta model
CFischer Black's CAPM
DArbitrage pricing model
Answer & Solution
Correct answer: C. Fischer Black's CAPM
Fischer Black's 1972 version does not assume a riskless asset and uses a zero-beta portfolio instead.
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