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苏苏1124 · 2023年03月21日

关于A选项，题目并没说是CML，而且CML是CAL里一条特殊的线，并不代表CML就是CAL啊。

  1. CFA I
  2. Portfolio

NO.PZ2018070201000081

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.

如题。谢谢！

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1 个答案

pzqa27 · 2023年03月22日

嗨，爱思考的PZer你好：


在这里，optimal risky portfolio是CML与有效前沿的切点，这个点是唯一的。

给定风险预期收益率最大的、给定收益率风险最小的，这样的组合有很多个，画到图中形成的是有效前沿。

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