20. According to the robust CAPM of Feijo and Viale (2022):

A. Alpha is a compensation for idiosyncratic ambiguity,

B. The robust market premium man be as high as 13Hc p.a.,

C. Prices are indeterminate,

D. All of the above.

21. Assuming the CAPX1 is true, which one of the following statements is false?

A. The expected return of the asset includes a compensation for systematic risk,

B. Investors should demand a higher premium for assets with higher beta,

C. One can build a portfolio with a beta of 0.75 by investing 75Hc of your money in T- Bills and the rest in the SAP 500.

22. The intertemporal CAPM (ICAPM) of klerton results from solving the dynamic portfolio choice problem using dynamic programming.

A. True,

B. False.

23. The asset pricing theory (APT) model of Ross assumes that under NA, investors should price assets in the economy so that their Treynor ratios are equal.

A. True,

B. False.

24. Recent profitability and investment risk factors are motivated by looking into the production function of firms.

A. True,

B. False

25. kIertons ICAPX1 (1973) argues that investors should hold besides the two investments funds from standard portfolio theory a third investment fund. Fill in the blanks.

26. According to the conditional CAPkI, the standard CAPM does not hold unconditionally but conditionally (i.e., depending on the state of the economy):

A. True,

B. False.

27. According to the robust CAPkI of Viale and Feijo (2022), the standard CAPkI is always misspecified:

A. True

B. False

28. Asset pricing models:

A. Help investors to figure out the minimum return they should ask,

B. Determine the Jatr ralue of assets in the economy under equilibrium,

C. Are misspecified by construction,

D. All of the above.

29. According to Rolls critique empirical tests of the CAPkI are just tests of the market model representation of the CAPkI.

A. True,

B. False.