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Christinack · 2018年11月01日

问一道题:NO.PZ2015121802000051 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

请问能解释 题干和选项的意思吗?

抱歉没看懂

1 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年11月01日

关于CAPM下面哪个选项最正确:

A 风险厌恶投资者应该至少持有一些无风险资产。(这个不一定的,可以持有,也可以为0,或者以无风险利率贷给银行)

B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(这也不对,CAPM用beta,也就是系统性风险衡量的,而不是标准差)

C所有投资者在组合中都会持有相同的风险资产(这个正确,都是持有market portfolio)

 

Christinack · 2018年11月02日

谢谢

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