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KathG · 2024年05月14日

老师请问为什么是borrow at the risk free rate?

NO.PZ2015121801000073

问题如下:

Compared to the efficient frontier of risky assets, the dominant capital allocation line has higher rates of return for levels of risk greater than the optimal risky portfolio because of the investor’s ability to:

选项:

A.

lend at the risk-free rate.

B.

borrow at the risk-free rate.

C.

purchase the risk-free asset.

解释:

B  is correct.

The CAL dominates the efficient frontier at all points except for the optimal risky portfolio. The ability of the investor to purchase additional amounts of the optimal risky portfolio by borrowing (i.e., buying on margin) at the risk-free rate makes higher rates of return for levels of risk greater than the optimal risky asset possible.

不懂为啥能看出来用risk free rate来借钱?borrowing portfolio不是只能看出我的资产配比中使用了杠杆来增加了有风险股票投资吗?

1 个答案

Kiko_品职助教 · 2024年05月15日

嗨,爱思考的PZer你好:


资产配比中使用杠杆不就是用risk free rate借钱的意思吗。CML这条线上,是Rf和Market portfolio不同配比的组合。M上方的点收益大于M,说明举了杠杆,也就是给了Rf一个负的权重,就是用Rf借钱的意思。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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