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jay1180 · 2022年12月29日

CAL一定是切线么

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).

请问老师,马可的EF是确定的,然后Rf也是确定的,那是不是CAL就是唯一的呢(经过Rf的和EF相切的那条切线)?


基础班视频都听懂了,但是这个疑问一直存在。。。。谢谢老师,,

1 个答案

pzqa27 · 2022年12月29日

嗨,爱思考的PZer你好:


不是,不同投资者的optimal risky asset不一样,所以CAL对于不同投资者是不一样的

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