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lanlanlanlan · 2023年07月23日

CAL是risk free asset 和market portfolio 组成的线，假设就是所有投资者的expectation

  1. CFA I
  2. Portfolio

NO.PZ2015121801000077

问题如下：

With respect to capital market theory, an investor’s optimal portfolio is the combination of a risk-free asset and a risky asset with the highest:

选项：

A.

expected return.

B.

indifference curve.

C.

capital allocation line slope.

解释：

B  is correct.

Investors will have different optimal portfolios depending on their indifference curves. The optimal portfolio for each investor is the one with highest utility; that is, where the CAL is tangent to the individual investor’s highest possible indifference curve.

CAL是risk free asset 和market portfolio 组成的线，假设就是所有投资者的expectation return 相同，那为什么还会跟不同投资者的indifferent line 有关呢

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1 个答案

Kiko_品职助教 · 2023年07月25日

嗨，爱思考的PZer你好：


combination of a risk-free asset and a risky asset 描述的就是cal线，题干问的是对于一个单独的投资者其最优投资组合是什么线和 cal线的交点。投资者无差异曲线和cal曲线相切的点是optimal portfolio,所以这道题选无差异曲线。

假设所有投资者的expectation return 相同，那么就是CML了。这跟这道题没有关系。

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