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咖啡巧克力 · 2024年03月22日

为何不能讲是斜率最高？

  1. CFA I
  2. Portfolio

NO.PZ2018070201000077

问题如下：

Which of the following is the optimal portfolio for a individual investor according to the capital market theory?

选项：

A.

the combination of a risk-free asset and a risky asset with the highest expected return.

B.

the combination of a risk-free asset and a risky asset with the highest indifference curve.

C.

the combination of a risk-free asset and a risky asset with the highest capital allocation line slope.

解释：

B is correct.

Individuals' optimal portfolios is determined by different indifference curves, which delivers the highest utility. So CAL is tangent to the individual investor’s highest possible indifference curve.

CML是无风险资产与有效前沿切点之间的连线，为何不能认为他的斜率相对其他点连线相较斜率最高？

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4 个答案

Kiko_品职助教 · 2024年08月12日

嗨，努力学习的PZer你好：


是的，风险一定的情况下能切到CML的就是最高的indifference curve。CML这条已经是最优，再往上是不可到达的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

AvenYu · 2024年08月11日

但是这条indiff curve一定是最高吗？其实rf和M点画出来，线的斜率也就定了，要找的optimal porfolio只是看哪条curve和cml切到？

Kiko_品职助教 · 2024年03月29日

嗨，从没放弃的小努力你好：


不是的，每个人的风险承受度不同，indifference curve也有许多条，CAL上面任何一个点都能与indifference curve有一个切点。都是可以达到的。

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努力的时光都是限量版，加油！

Kiko_品职助教 · 2024年03月22日

嗨，爱思考的PZer你好：


斜率确实是与切点的连线是最高，但是这道题跟CML没有什么关系。问的是optimal portfolio是什么。他就是CAL和indifference curve的交点。B选项the combination of a risk-free asset and a risky asset 这就是CAL的意思。

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加油吧，让我们一起遇见更好的自己！

eyn · 2024年03月29日

也就是现实只有C点能够达到，P点实际是达不到的？

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