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台风来了 · 2022年12月28日

老师你好！能不能再具体说说CAL, CML, SML几条线之间的区别啊？谢谢！

  1. CFA I
  2. Portfolio

NO.PZ2018070201000077

问题如下：

Which of the following is the optimal portfolio for a individual investor according to the capital market theory?

选项：

A.

the combination of a risk-free asset and a risky asset with the highest expected return.

B.

the combination of a risk-free asset and a risky asset with the highest indifference curve.

C.

the combination of a risk-free asset and a risky asset with the highest capital allocation line slope.

解释：

B is correct.

Individuals' optimal portfolios is determined by different indifference curves, which delivers the highest utility. So CAL is tangent to the individual investor’s highest possible indifference curve.

老师你好！能不能再具体说说CAL, CML, SML几条线之间的区别啊？谢谢！

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1 个答案

pzqa27 · 2022年12月29日

嗨，努力学习的PZer你好：


CAL是把无风险组合与有效前沿相结合形成的线

CML也是，不过CML要求投资者有相同的市场预期

SML是衡量系统性风险和expected return之间关系的，而非总风险和expected return

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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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