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ruby5ltc · 2022年06月07日

请问其他两个选项错在哪里？

  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.

请问其他两个选项错在哪里

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2 个答案

Kiko_品职助教 · 2022年06月10日

嗨，努力学习的PZer你好：


CAPM的假设之一是“Investors have homogeneous expectations or beliefs”，正因为所有投资者对市场、个股都有相同的预期，所以最终持有的风险资产都是相同的。



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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Kiko_品职助教 · 2022年06月07日

嗨，努力学习的PZer你好：


A错在hold这个词，风险厌恶的投资者既可以hold也可以borrow risk-free asssets

B，这道题问的是CAPM，所以风险由beta来衡量而不是standard deviation

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

ruby5ltc · 2022年06月08日

C选项是什么意思？我记得CAPM六个假设没有这个呀

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