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冬冬Liu~💫💫 · 2023年09月29日

R = w(RF)*RF+w(RM)*RM,当组合资产的R在RF至RM之间时,weight 都为正

NO.PZ2015121801000083

问题如下:

A portfolio on the capital market line with returns greater than the returns on the market portfolio represents a(n):

选项:

A.

lending portfolio.

B.

borrowing portfolio.

C.

unachievable portfolio.

解释:

B  is correct.

As one moves further to the right of point M on the capital market line, an increasing amount of borrowed money is being invested in the market portfolio. This means that there is negative investment in the risk-free asset, which is referred to as a leveraged position in the risky portfolio.

R = w(RF)*RF+w(RM)*RM,当组合资产的R在RF至RM之间时,weight 应该是一正一负啊,怎么会是都为正呢?请老师讲一下,不太懂

1 个答案

Kiko_品职助教 · 2023年10月04日

嗨,努力学习的PZer你好:


在Rf 和Rm之间,weight都是正,因为同时投资在Rf和Rm上,组合资产的R肯定是小于Rm的。当R在Rm之上的话,也就是在M点的右侧的时候,weight才是一正一负,代表举了杠杆,也就是borrow了Rf

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