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