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wzy王 · 2023年08月27日

问

  1. CFA I
  2. Portfolio

NO.PZ2015121801000111

问题如下：

With respect to capital market theory, which of the following assumptions allows for the existence of the market portfolio? All investors:

选项：

A.

are price takers.

B.

have homogeneous expectations.

C.

plan for the same, single holding period.

解释：

B  is correct.

The homogeneous expectations assumption means that all investors analyze securities in the same way and are rational. That is, they use the same probability distributions, use the same inputs for future cash flows, and arrive at the same valuations. Because their valuation of all assets is identical, they will generate the same optimal risky portfolio, which is the market portfolio.

请问B为什么不对呢 same single period

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1 个答案

星星_品职助教 · 2023年08月30日

同学你好，

这道题问的是使得market portfolio存在的条件。market portfolio存在要求的是所有的投资者必须要有相同的预期，这样他们分析问题的方式相同，才能得到同一个optimal risky portfolio，也就是market portfolio。Market portfolio并不要求有single period。

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