NO.PZ2022081802000041
问题如下:
Question When constructing the optimal portfolios for investors with different risk preferences, the investor with the higher risk aversion is most likely to have a:选项:
A.lower expected return. B.steeper capital allocation line. C.flatter indifference curve.解释:
SolutionA is correct. The optimal portfolio is identified as the point at which the capital allocation line (CAL) is tangential to the investor’s indifference curve. As investor risk aversion increases, the optimal portfolio slides down the CAL to a point of lower expected risk and lower expected return.
B is incorrect. The capital allocation line is fixed. It does not change based on the preferences of different investors.
C is incorrect. The indifference curve for a more risk averse investor steepens rather than flattens.
这个题的理解角度是两基金分离定律吗?就是一个风险厌恶程度更高的投资者不会去borrow无风险资产,所以他的收益率会低,而一个风险厌恶程度比较低的投资者回去borrow无风险资产,所以收益率会更高,是这个意思吗