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張寶寶 · 2024年05月13日

有效边界

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.

这个能画一个图来表示吗?

1 个答案

Kiko_品职助教 · 2024年05月15日

嗨,爱思考的PZer你好:


讲义上面这个图比较明显。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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