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努力旋转的陀螺 · 2022年11月21日

为什么optimal portfolio和market portfolio点可以认为是同一个点?

NO.PZ2018070201000110

问题如下:

Based on capital market theory, as all investors has the homogeneity assumption with same economic expectation of future cash flow for all assets, all the investors is most likely to invest in:

选项:

A.

All investors will invest in the same optimal risky portfolio.

B.

All investors will invest in the Standard and Poor’s 500 Index.

C.

All investors will invest in assets with the same amount of risk.

解释:

A is correct.

According to the homogeneity assumption, all investors have the same economic expectation of future cash flows and would therefore invest in the same optimal risky portfolio, implying the existence of only one optimal portfolio (which is the market portfolio). .

没明白这个解释:https://class.pzacademy.com/qa/60403

1 个答案

pzqa27 · 2022年11月21日

嗨,爱思考的PZer你好:


因为每个人对市场的预期不一样,所以每个人的optimal risky portfolio也不一样

但是现在题目说了,大家拥有相同的市场预期,那么大家的CAL就一样,因此形成的是CML,既然CML都一样了,那么他们的optimal risky portfolio也就相同了

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