NO.PZ2015121801000081
问题如下：
With respect to capital market theory, the optimal risky portfolio:
选项：
A.is the market portfolio.
B.has the highest expected return.
C.has the lowest expected variance.
解释：
A is correct.
The optimal risky portfolio is the market portfolio. Capital market theory assumes that investors have homogeneous expectations, which means that all investors analyze securities in the same way and are rational. That is, investors use the same probability distributions, use the same inputs for future cash flows, and arrive at the same valuations. Because their valuations of all assets are identical, all investors will invest in the same optimal risky portfolio (i.e., the market portfolio).
你好，题目中的最优风险组合，既不是最优组合，也不是最优风险资产组合的表述。根据CAL，与风险有关的资产组合不就是CAL与EF的切点么？有且只有一个。
