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Lin · 2020年09月25日

问一道题：NO.PZ2018070201000081

  1. CFA I
  2. Portfolio

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.

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

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1 个答案

星星_品职助教 · 2020年09月25日

同学你好，

optimal risky portfolio这个概念本身就是Capital Market theory里的概念，从Rf出发对EF做切线就可以找到optimal risky portfolio。之所以这个是“optimal portfolio”就是对于投资者来,CML就是最优的CAL。

同时，这个 optimal risky portfolio 就被叫做 market portfolio

 

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