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王猛🇨🇳 · 2023年11月03日

此题如何理解?

NO.PZ2023021601000016

问题如下:

As one moves to the right along an investor's efficient frontier, a set increase in risk is most likely to lead to:

选项:

A.sequentially larger increases in expected return. B.consistent increases in expected return. C.sequentially smaller increases in expected return.

解释:

The increase in return with every unit increase in risk keeps decreasing as one moves from left to right because the slope of the efficient frontier continues to decrease. Thus, investors obtain decreasing increases in returns as they assume more risk.

如题,谢谢

1 个答案

Kiko_品职助教 · 2023年11月06日

嗨,努力学习的PZer你好:


题目问的是当投资者的有效前沿向右移动,那么风险增加会导致什么?

我们知道投资者的有效前沿越往右,曲线越平,斜率会越小,所以随着单位风险的增加,预期收益率应该是增长的更小。所以答案是C

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虽然现在很辛苦,但努力过的感觉真的很好,加油!