NO.PZ2023091701000082
问题如下：
The investment committee of a large pension fund is evaluating a range of investment options using the mean-variance framework. The committee assumes that the fund can borrow and lend at the risk-free rate and wants to invest only in portfolios that are represented by points on the efficient frontier.
If there are only two investable risky assets, A and B, and the market is in equilibrium, which of the following statements would be correct about the committee’s target portfolio according to the mean-variance framework?
选项：
A.If the committee’s aversion to risk changes, the proportion of asset A to asset B held in the fund’s target portfolio will change. B.The proportion of asset A to asset B held in the target portfolio will be constant and in proportion to the assets’ respective share of all investable assets. C.The proportion of asset A to asset B held in the target portfolio will be constant and in proportion to the assets’ relative risk contributions to the total market risk. D.The proportion of asset A to asset B held in the target portfolio will be constant and a function of the assets’ respective expected returns.解释：
B is correct. Within the mean-variance framework, the point M is the market portfolio – consisting of all investments in the market with the proportional amount of any investment in the portfolio being the same as the proportion of all available investments that it represents. If an asset is under(over)-represented by this criterion, the market price will fall(rise) until the criterion is satisfied.
A is incorrect. If the market is in equilibrium, all investors should choose to invest in the same portfolio of risky assets, represented by point M. They should then reflect their risk appetite by borrowing or lending at the risk-free rate.
C and D are incorrect. The proportion of A and B reflects the proportion of the assets’ share of all available investments.
