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沐阳途鸦 · 2020年02月29日

问一道题：NO.PZ2015121801000077

  1. CFA I
  2. Portfolio

问题如下：

With respect to capital market theory, an investor’s optimal portfolio is the combination of a risk-free asset and a risky asset with the highest:

选项：

A.

expected return.

B.

indifference curve.

C.

capital allocation line slope.

解释：

B  is correct.

Investors will have different optimal portfolios depending on their indifference curves. The optimal portfolio for each investor is the one with highest utility; that is, where the CAL is tangent to the individual investor’s highest possible indifference curve.

您好，这道题为什么不选c呢？

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1 个答案

丹丹_品职答疑助手 · 2020年03月01日

同学你好，本题考查资本配置线与最优组合的理解。

CAL的定义：a combination of thea combination of the risk-free asset and a risky asset can result in a
better risk–return trade-off than an investment in only one type of asset because the
risk-free asset has zero correlation with the risky asset. The combination is called the
capital allocation line。

将无风险资产和投资者有效前沿上的点组合，得到的是资本配置线。
 

资本配置线与投资者的无差异曲线结合，得到投资者的最优投资组合。请知悉

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