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Tututu · 2024年10月22日

可以解释一下这个题吗

  1. CFA I
  2. Portfolio

NO.PZ2015121802000051

问题如下：

Which of the following statement is most accurate about the capital asset pricing model (CAPM)?

选项：

A.

An risk-averse investor should at least hold some of the risk-free asset in his portfolio.

B.

A high-risk stock which is measured as standard deviation of returns will have high expected returns in equilibrium.

C.

All investors who take on risk will hold the identical risky asset in their portfolios.

解释：

C is correct.

Statement C is one of the CAPM's assumptions. A risk-averse investor would accept more risk only when a higher expected return is guaranteed. The CAPM assumes all investors are risk-averse.

可以解释一下这个题吗

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1 个答案

Kiko_品职助教 · 2024年10月22日

嗨，爱思考的PZer你好：


A选项 风险厌恶投资者应该至少持有一些无风险资产。这个不一定，风险厌恶型的投资者既可以投资无风险资产，又可以通过无风险利率融资（borrow at risk-free rate)再去投资风险资产，所以不一定是持有risk-free asset，也可以是通过举杠杆获得risk-free asset。

B选项 以标准差衡量的高风险股票在均衡条件下可以获得更高的收益。在CAPM中，风险是用beta来衡量的，也就是只考虑系统性风险，不是standard deviation。

C选项 所有投资者在组合中都会持有相同的风险资产。这个考点是CAPM的假设，CAPM的假设之一是“Investors have homogeneous expectations or beliefs”，正因为所有投资者对市场、个股都有相同的预期，所以最终持有的风险资产都是相同的。

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