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Sofia nice · 2024年07月28日

有点糊涂

  1. CFA I
  2. Portfolio

NO.PZ2015121801000077

问题如下：

With respect to capital market theory, an investor’s optimal portfolio is the combination of a risk-free asset and a risky asset with the highest:

选项：

A.

expected return.

B.

indifference curve.

C.

capital allocation line slope.

解释：

B  is correct.

Investors will have different optimal portfolios depending on their indifference curves. The optimal portfolio for each investor is the one with highest utility; that is, where the CAL is tangent to the individual investor’s highest possible indifference curve.

这里的无差异曲线是平行上下移动的。可以左右平移吗？比如一个人有多个切点？

相同预期就是CML，那么CML切点这个点是代表无差异曲线都相同？

那CML这条线和无差异曲线的不同切点是代表说明啥？

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1 个答案

Kiko_品职助教 · 2024年07月29日

嗨，从没放弃的小努力你好：


第一个问题已经在前面提问里回答了。

CML上面的点，与无差异曲线相切，每个点就只能切出来一条无差异曲线。所以切点M也只能切出来一条无差异曲线。不同切点代表不同投资者不同风险厌恶程度下对Rf和market portfolio的配比不同。切点切出来的无差异曲线就已经是在可到达的范围内最高的无差异曲线了。

这道题其实很简单。就是问你optimal portfolio是哪两条线结合或者说相切来的。就是CML或者最优的CAL与无差异曲线相切的点。题干说的the combination of a risk-free asset and a risky asset ，就是指的CAL，所以直接选无差异曲线就可以了。

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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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