easy · FRM Part 1 Foundations of Risk Management
In the Capital Market Line equation E(R_p) = R_f + (E(R_M) - R_f)/(σ_M) σ_p, what does the term σ_p represent?
- The total volatility of the efficient portfolio being evaluated
- The variance of returns for the overall market portfolio
- The tracking error of the portfolio relative to its stated benchmark
- The systematic, non-diversifiable market risk exposure of the portfolio
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