NO.PZ2018070201000084
问题如下：
Which of the following statements about lending portfolio is correct?
选项：
A.The portfolio return of a combination between risk-free assets and the market portfolio is less than the return of the market portfolio.
B.The portfolio return of a combination between risk-free assets and the market portfolio is higher than the return of the market portfolio.
C.The portfolio return of a combination between risk-free assets and the market portfolio is equal to the return of the market portfolio.
解释：
A is correct.
In the CML, a lending portfolio shows that the portfolio return of a combination between risk-free assets and the market portfolio is less than the return of the market portfolio.
解析中“补充一下：左侧（m下方的点）相当于我们给了Rf一定的权重。相当于我们一部分钱买了无风险资产一部分投资了大盘指数。所以收益率是更低的，风险也是更低的。右侧（m上方的点）我们给了Rf一个小于零的权重，相当于我们跟银行借钱买了大盘指数，收益率高，风险也高。” 权重怎么能小于0呢？
