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chyje2007 · 2018年08月13日

问一道题：NO.PZ2015121802000051 [ CFA I ]

  1. CFA I
  2. Portfolio

问题如下图：

选项：

A.

B.

C.

解释：

c选项什么意思呢。a为什么不对

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1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年08月14日

同学你好，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。

A选项的说法不严谨，风险厌恶型的投资者既可以投资无风险资产，又可以通过无风险利率融资（borrow at risk-free rate)再去投资风险资产，所以不一定是持有risk-free asset。

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