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YI YU · 2024年11月18日

NO.2023091901000026

  1. FRM I
  2. Foundations Of Risk Management
答案判断及提示不正确 题目问是否还在有效前沿上，通过据杠杆，组合应该在CML上也就是有效前沿的上方。答案解释说不在有效前沿曲线上，但在CML上。但却选在Yes.
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2 个答案

源_品职助教 · 2024年11月18日

嗨，从没放弃的小努力你好：


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努力的时光都是限量版，加油！

李坏_品职助教 · 2024年11月18日

嗨，爱思考的PZer你好：


在引入无风险借贷（就是引入leverage）之后，新的有效边界从原来的曲线变成了CML这条直线。所以此时CML就是新的有效边界。


在引入杠杆之后，新的组合的确不在曲线上，现在是在CML上（从下图的点M变成了点B）：


题目最后问的是，投资者的组合是否在有效边界上？是的（在CML上，就是在有效边界上）。

另外，由于是在rf与M组合之间进行线性组合，那么并不会改变斜率，所以sharpe ratio也一样，D选项是正确的。

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努力的时光都是限量版，加油！

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