NO.PZ2023091901000026
问题如下：
The market portfolio (M) contains the optimal allocation of only risky asset and no risky assets. Let the S1 be the Sharpe ratio of this market portfolio. There exists a risk-free asset. Initially, an investor is fully (100%) invested in M with a portfolio Sharpe ratio of S1. Subsequently, the investor borrows 30% at the risk-free rate, such that she is 130% invested in the market portfolio (M) where this leverage portfolio has a Sharpe ratio of S2。After the leverage (i.e., borrowing at the risk-free rate to invest +30% in M, is the investor still on the efficient frontier and how do the Sharpe ratios?
选项：
A.
No (no longer efficient), and S2
B.
No, but S2 = S1.
C.
Yes (still efficient), but S2
D.
Yes and S2 = S1.
解释：
The ability to borrowing or lend morphs the concave/convex efficient frontier into the linear CML; i.e., the leveraged portfolio is efficient with higher risk and higher return.
All portfolios on the CML have the same Sharpe ratio: the slope of the CML.
借钱不是在线外了吗
