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zhy · 2018年11月24日

问一道题:NO.PZ2018070201000081 [ CFA I ]

B和C错误是不是缺少条件描述?

B:at given risk

C: at given expected return

问题如下图:

    

选项:

A.

B.

C.

解释:



1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年11月25日

不是的。在这里,optimal risky portfolio是CML与有效前沿的切点,这个点是唯一的。

给定风险预期收益率最大的、给定收益率风险最小的,这样的组合有很多个,画到图中形成的是有效前沿。

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