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zhy · 2018年11月24日

问一道题：NO.PZ2018070201000081 [ CFA I ]

  1. CFA I
  2. Portfolio

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：



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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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