NO.PZ2022081802000041
问题如下：
Question When constructing the optimal portfolios for investors with different risk preferences, the investor with the higher risk aversion is most likely to have a:选项：
A.lower expected return. B.steeper capital allocation line. C.flatter indifference curve.解释：
SolutionA is correct. The optimal portfolio is identified as the point at which the capital allocation line (CAL) is tangential to the investor’s indifference curve. As investor risk aversion increases, the optimal portfolio slides down the CAL to a point of lower expected risk and lower expected return.
B is incorrect. The capital allocation line is fixed. It does not change based on the preferences of different investors.
C is incorrect. The indifference curve for a more risk averse investor steepens rather than flattens.
何老师在课上讲了，CAL是在EF的基础上引入了无风险资产和每个投资者有不同预期。由于预期不同，产生的EF不同，所以CAL也不同。为什么答案对B选项的解释是"CAL line is fixed"
