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cui1130 · 2023年07月28日

没看懂这个题什么意思

NO.PZ2022081802000035

问题如下:

Question If Investor A has a lower risk aversion coefficient than Investor B, on the capital allocation line, will Investor B’s optimal portfolio most likely have a higher expected return?

选项:

A.Yes B.No, because Investor B has a higher risk tolerance C.No, because Investor B has a lower risk tolerance

解释:

Solution

C is correct. Investor B has a higher risk aversion coefficient, thus a lower risk tolerance and a lower expected return on the capital allocation line.

A is incorrect. Investor A has a higher expected return on the capital allocation line.

B is incorrect. Investor B has lower risk tolerance.

题目不是说A的风险厌恶程度比B低么?那也就是说B更加厌恶风险,那在相同的风险下,B不是要求的回报率就会更高吗?

1 个答案

Kiko_品职助教 · 2023年07月28日

嗨,爱思考的PZer你好:


这道题并没有说在相同的风险下哦,不要自行去想象条件。B更加厌恶风险,说明它风险承受能力更低,那么在CAL这条线上,他就越靠近Rf,所以他的optimal portfolio的return应该是更低才对。

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