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Endymion · 2024年01月21日

想请教一下这个知识点是在哪里呢

  1. CFA I
  2. Portfolio

NO.PZ2022081802000059

问题如下：

Question An investor with $10,000 decides to borrow an additional $5,000 at the risk-free rate and invest all the available funds in the market portfolio. This investor’s portfolio beta is closest to:

选项：

A.0.5. B.1.0. C.1.5.

解释：

Solution

C is correct. The weight in the market portfolio is 15,000/10,000 = 1.5 and the weight in the risk-free asset is –5,000/10,000 = –0.5. Because the beta of the risk-free asset is 0 and the market portfolio’s beta is 1, the portfolio’s beta is βp = 0(–0.5) + 1(1.5) = 1.5.

A is incorrect because it is computed using weights of 0.5 for the risk-free asset and the market portfolio, that is: 0(0.5) + 1(0.5) = 0.5.

B is incorrect because it is the market portfolio’s beta.



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1 个答案

Kiko_品职助教 · 2024年01月22日

嗨，爱思考的PZer你好：


这个我在上一个提问里面回答了哈。

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