经典题

NO.PZ2023091701000082问题如下 The investment committee ofa large pension funis evaluating a range of investment options using the mean-varianceframework. The committee assumes ththe funborrow anlenthe risk-free rate anwants to invest only inportfolios thare representepoints on the efficient frontier.Ifthere are only two investable risky assets, A ananthe market is inequilibrium, whiof the following statements woulcorreabout thecommittee’s target portfolio accorng to the mean-varianframework? A.If the committee’s aversion to risk changes, theproportion of asset A to asset B helin the funs target portfolio willchange.B.The proportion of asset A to asset B helin thetarget portfolio will constant anin proportion to the assets’ respectiveshare of all investable assets.C.The proportion of asset A to asset B helin thetarget portfolio will constant anin proportion to the assets’ relativerisk contributions to the totmarket risk.The proportion of asset A toasset B helin the target portfolio will constant ana function of theassets’ respective expectereturns. B is correct. Withinthe mean-varianframework, the point M is the market portfolio – consistingof all investments in the market with the proportionamount of any investmentin the portfolio being the same the proportion of all available investmentsthit represents. If asset is unr(over)-representethis criterion,the market priwill fall(rise) until the criterion is satisfieA is incorrect. Ifthe market is in equilibrium, all investors shoulchoose to invest in the sameportfolio of risky assets, representepoint M. They shoulthen reflecttheir risk appetite borrowing or lenng the risk-free rate.C anareincorrect. The proportion of A anB reflects the proportion of the assets’share of all available investments. 老师，在讲解这道题的时候有几个地方不太明白1、M点里面是指曲线下方的斜线部分？就是黄色荧光笔部分？只有红色曲线是有效前沿吧？黄色部分不是资产最优组合吧，因为同样的风险，收益没有达到最大比如C点。2、红线和黄色区域都是AB权重不变？AB权重以市值占比为准？3、M下方的点和上方的点是风险厌恶还是喜欢风险，是看效用曲线吧？4、M下方投资了rf，咋看出是len5、这道题和mevariance有啥关系啊

NO.PZ2023091701000082 问题如下 The investment committee ofa large pension funis evaluating a range of investment options using the mean-varianceframework. The committee assumes ththe funborrow anlenthe risk-free rate anwants to invest only inportfolios thare representepoints on the efficient frontier.Ifthere are only two investable risky assets, A ananthe market is inequilibrium, whiof the following statements woulcorreabout thecommittee’s target portfolio accorng to the mean-varianframework? A.If the committee’s aversion to risk changes, theproportion of asset A to asset B helin the funs target portfolio willchange. B.The proportion of asset A to asset B helin thetarget portfolio will constant anin proportion to the assets’ respectiveshare of all investable assets. C.The proportion of asset A to asset B helin thetarget portfolio will constant anin proportion to the assets’ relativerisk contributions to the totmarket risk. The proportion of asset A toasset B helin the target portfolio will constant ana function of theassets’ respective expectereturns. B is correct. Withinthe mean-varianframework, the point M is the market portfolio – consistingof all investments in the market with the proportionamount of any investmentin the portfolio being the same the proportion of all available investmentsthit represents. If asset is unr(over)-representethis criterion,the market priwill fall(rise) until the criterion is satisfieA is incorrect. Ifthe market is in equilibrium, all investors shoulchoose to invest in the sameportfolio of risky assets, representepoint M. They shoulthen reflecttheir risk appetite borrowing or lenng the risk-free rate.C anareincorrect. The proportion of A anB reflects the proportion of the assets’share of all available investments.