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