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💗 · 2025年06月25日

CAPM

  1. CFA I
  2. Portfolio

NO.PZ2015121802000051

问题如下：

Which of the following statement is most accurate about the capital asset pricing model (CAPM)?

选项：

A.

An risk-averse investor should at least hold some of the risk-free asset in his portfolio.

B.

A high-risk stock which is measured as standard deviation of returns will have high expected returns in equilibrium.

C.

All investors who take on risk will hold the identical risky asset in their portfolios.

解释：

C is correct.

Statement C is one of the CAPM's assumptions. A risk-averse investor would accept more risk only when a higher expected return is guaranteed. The CAPM assumes all investors are risk-averse.

我可以理解为SML与EF切点以上的点是没有持有无风险资产只是以无风险利率融资吗

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1 个答案

Kiko_品职助教 · 2025年06月26日

嗨，从没放弃的小努力你好：


你是想问CML？

SML是给资产定价的。CML才是会跟EF相切的。这条线上切点以上的点是没有持有无风险资产只是以无风险利率融资。

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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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