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ychi5 · 2024年07月30日

题干里怎么体现出考的是CAL知识点而不是CML

  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.


CAL和CML主要有什么不同呢，看完讲义有些模糊

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1 个答案

Kiko_品职助教 · 2024年07月30日

嗨，努力学习的PZer你好：


Rf和EF上面任何一个风险资产的连线都是CAL，所以CAL有很多条，而切点的连线是最优的CAL，这条最优的CAL也叫CML，切点就是market portfolio。题干说的the combination of a risk-free asset and a risky asset 这个描述就是代表CAL。这里的optimal portfolio可以看出来，这条线就是最优的CAL，或者也可以叫CML，与无差异曲线的切点。

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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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