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水水 · 2024年10月18日

C选项为什么不对

  1. CFA I
  2. Portfolio

NO.PZ2018070201000081

问题如下：

Which of the following statement about optimal risky portfolio is most correct?

选项：

A.

The optimal risky portfolio is the market portfolio.

B.

The optimal risky portfolio has the highest expected return.

C.

The optimal risky portfolio has the lowest expected variance.

解释：

A is correct.

The optimal risky portfolio is the market portfolio, in the capital market theory.

如题

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1 个答案

Kiko_品职助教 · 2024年10月21日

嗨，爱思考的PZer你好：


C说最优风险投资组合具有最低的预期方差，也就是最低的风险。这是错的，Rf风险最低， optimal risky portfolio里面是有风险投资的，所以不可能风险最低。

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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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老师，题目里没说是根据THEORY呀，optimCAL和EF的切点本身是optimrisky portfolio了，不同的投资者有不同的optimrisky portfolio不是吗。

2020-09-25 06:46 1 · 回答