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CFApipa · 2022年09月18日

老师，我记得基础班何老师讲过cal有利用杠杆，那为什么B选项不对？

  1. CFA I
  2. Portfolio

NO.PZ2015121801000072

问题如下：

The dominant capital allocation line is the combination of the risk-free asset and the:

选项：

A.

optimal risky portfolio.

B.

levered portfolio of risky assets.

C.

global minimum-variance portfolio.

解释：

A  is correct.

The use of leverage and the combination of a risk-free asset and the optimal risky asset will dominate the efficient frontier of risky assets (the Markowitz efficient frontier).

老师，我记得基础班何老师讲过cal有利用杠杆，那为什么B选项不对？

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1 个答案

Kiko_品职助教 · 2022年09月19日

嗨，从没放弃的小努力你好：


这道题就是直接考察CAL的定性表述的。CAL线是由（optimal risky portfolio）与risk-free asset 组合形成的。这是定义。

CML有用到杠杆。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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