NO.PZ2015121801000081
问题如下：
With respect to capital market theory, the optimal risky portfolio:
选项：
A.
is the market portfolio.
B.
has the highest expected return.
C.
has the lowest expected variance.
解释：
A is correct.
The optimal risky portfolio is the market portfolio. Capital market theory assumes that investors have homogeneous expectations, which means that all investors analyze securities in the same way and are rational. That is, investors use the same probability distributions, use the same inputs for future cash flows, and arrive at the same valuations. Because their valuations of all assets are identical, all investors will invest in the same optimal risky portfolio (i.e., the market portfolio).
capital market theory 到底是哪个理论呢。我明白B和Ｃ错，也知道只有当投资者有一致预期的时候optimal risky portfolio就是market portfolio，可是本题也看不出来投资者预期一致啊。
