开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

西红柿面 · 2023年07月16日

有个提问老师并没有完整回答

NO.PZ2015121801000081

问题如下:

With respect to capital market theory, the optimal risky portfolio:

选项:

A.

is the market portfolio.

B.

has the highest expected return.

C.

has the lowest expected variance.

解释:

A  is correct.

The optimal risky portfolio is the market portfolio. Capital market theory assumes that investors have homogeneous expectations, which means that all investors analyze securities in the same way and are rational. That is, investors use the same probability distributions, use the same inputs for future cash flows, and arrive at the same valuations. Because their valuations of all assets are identical, all investors will invest in the same optimal risky portfolio (i.e., the market portfolio).

有个同学在这道题下面问了几个特别好的问题:

(1)在投资者都有相同预期的时候,CAL里面CAL和EF相切的T点optimal risky portfolio和CML里面CML和EF相切的M点market portfolio是同一个点吗?

(2)在CAL里面投资者有不同的无差别curve,无差别curve和CAL的切点P点,CAL和EF的切点T点,P、T两点什么时候重合?

(3)P点又和CML里面的M点有什么关系?


之前答案老师的回答很简答,没有看懂,希望其他老师可以帮忙详细解释一下,谢谢

1 个答案
已采纳答案

Kiko_品职助教 · 2023年07月17日

嗨,努力学习的PZer你好:


(1)是的,是同一个。因为当投资者有相同预期的时候,CAL就是CML。

(2)因为无差别曲线是可以有非常多条的,无差别曲线跟CAL也可以有无数个切点,那么总有一条无差异曲线和CAL的切点跟CAL和EF的切点重合的。

(3)无差别曲线跟CAL的切点C(就是你说的P点)可以有无数个,投资者有不同的风险偏好那么这个切点都是不同的。M点是market portfolio,当投资者的风险偏好跟市场组合重合的时候,那么他们其实是可以重合的。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 341

    浏览
相关问题

NO.PZ2015121801000081 问题如下 With respeto capitmarket theory, the optimrisky portfolio: A.is the market portfolio. B.hthe highest expectereturn. C.hthe lowest expectevariance. is correct.The optimrisky portfolio is the market portfolio. Capitmarket theory assumes thinvestors have homogeneous expectations, whimeans thall investors analyze securities in the same wanare rational. This, investors use the same probability stributions, use the same inputs for future cash flows, anarrive the same valuations. Because their valuations of all assets are intical, all investors will invest in the same optimrisky portfolio (i.e., the market portfolio). 你好,题目中的最优风险组合,既不是最优组合,也不是最优风险资产组合的表述。根据CAL,与风险有关的资产组合不就是CAL与EF的切点么?有且只有一个。

2023-12-03 01:20 2 · 回答

NO.PZ2015121801000081问题如下With respeto capitmarket theory, the optimrisky portfolio:A.is the market portfolio.B.hthe highest expectereturn.C.hthe lowest expectevariance.is correct.The optimrisky portfolio is the market portfolio. Capitmarket theory assumes thinvestors have homogeneous expectations, whimeans thall investors analyze securities in the same wanare rational. This, investors use the same probability stributions, use the same inputs for future cash flows, anarrive the same valuations. Because their valuations of all assets are intical, all investors will invest in the same optimrisky portfolio (i.e., the market portfolio).capitmarket theory 到底是哪个理论呢。我明白B和C错,也知道只有当投资者有一致预期的时候optimrisky portfolio就是market portfolio,可是本题也看不出来投资者预期一致啊。

2023-02-23 20:48 1 · 回答

NO.PZ2015121801000081 问题如下 With respeto capitmarket theory, the optimrisky portfolio: A.is the market portfolio. B.hthe highest expectereturn. C.hthe lowest expectevariance. is correct.The optimrisky portfolio is the market portfolio. Capitmarket theory assumes thinvestors have homogeneous expectations, whimeans thall investors analyze securities in the same wanare rational. This, investors use the same probability stributions, use the same inputs for future cash flows, anarrive the same valuations. Because their valuations of all assets are intical, all investors will invest in the same optimrisky portfolio (i.e., the market portfolio). A为什么正确??????

2022-11-06 17:50 1 · 回答

NO.PZ2015121801000081 CAL里面CAL和EF相切的T点optimrisky portfolio和CML里面CML和EF相切的M点market portfolio是同一个点吗? 在CAL里面投资者有不同的无差别curve,无差别curve和CAL的切点P点,CAL和EF的切点T点,P点和T点重合的时候就是CML里面的M点吗? 投资者有相同的预期在图形或者数学上是什么意思呢?

2021-05-17 15:53 2 · 回答