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维克多周 · 2020年02月23日

问一道题：NO.PZ2015121801000077 [ CFA I ]

  1. CFA I
  2. Portfolio

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.

搞不清楚CAL和CML的区别。可以解释下吗
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1 个答案

丹丹_品职答疑助手 · 2020年02月23日

同学你好，资本配置曲线是将无风险资产和投资者有效前沿的点组合得到的一条直线，反映了不同投资者的不同预期，每个投资者是根据自己的资本配置线进行投资。而对于资本市场线，我们假设每个投资者都有相同的预期，从而形成一条有效前沿，无风险资产与这条有效前沿的切线构成的曲线，才是资本市场线，这个切点是市场组合，它包含了市场上所有的风险资产。

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