The capital market line , is the line that represents the best possible return for a given amount of risk .
So capital market line represents portfolios that combine the best risk return trade offs.
Since it is not the highest return, since that statement is incomplete. It is highest return for a given level of risk.
Sharpe ratio is the return of an investment compared to its risk. So since Capital Market line represents the highest return for a given amount of risk, the sharpe ratio is the highest at the Capital Market line.
Hence B is the right answer.
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