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emma爱地球 · 2024年04月13日

bc不懂

  1. CFA I
  2. Portfolio

NO.PZ2015121802000051

问题如下：

Which of the following statement is most accurate about the capital asset pricing model (CAPM)?

选项：

A.

An risk-averse investor should at least hold some of the risk-free asset in his portfolio.

B.

A high-risk stock which is measured as standard deviation of returns will have high expected returns in equilibrium.

C.

All investors who take on risk will hold the identical risky asset in their portfolios.

解释：

C is correct.

Statement C is one of the CAPM's assumptions. A risk-averse investor would accept more risk only when a higher expected return is guaranteed. The CAPM assumes all investors are risk-averse.

B的问题是什么意思，为什么错？


C跟课本的假设也不一样啊，觉得解析不对，课本上没有说风险爱好者要持有同样资产吧？

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1 个答案

Kiko_品职助教 · 2024年04月15日

嗨，努力学习的PZer你好：


B选项的意思是用标准差来衡量股票的风险。CAPM是用beta衡量的，不是standard devation

C选项的考点是CAPM的假设，CAPM的假设之一是“Investors have homogeneous expectations or beliefs”，正因为所有投资者对市场、个股都有相同的预期，所以最终持有的风险资产都是相同的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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