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💗 · 2025年06月26日

CML optimal portfolio

NO.PZ2015121801000081

问题如下:

With respect to capital market theory, the optimal risky portfolio:

选项:

A.

is the market portfolio.

B.

has the highest expected return.

C.

has the lowest expected variance.

解释:

A  is correct.

The optimal risky portfolio is the market portfolio. Capital market theory assumes that investors have homogeneous expectations, which means that all investors analyze securities in the same way and are rational. That is, investors use the same probability distributions, use the same inputs for future cash flows, and arrive at the same valuations. Because their valuations of all assets are identical, all investors will invest in the same optimal risky portfolio (i.e., the market portfolio).

我是否可以这样理解:

对于投资者optimal portfolio就是与无差异曲线最大的点;而市场上optimal risky portfolio就是CML与EF

相切的点。


那highest expected return的点是在哪儿呢

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:


投资者optimal portfolio是CAL或者EF与无差异曲线相切的点。市场上optimal risky portfolio就是CML与EF相切的点,这个没错。

highest expected return这个点CFA没有涉及过。

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