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过儿 · 2022年03月30日

这题A错在哪里

  1. CFA I
  2. Portfolio

NO.PZ2015121802000051

问题如下：

Which of the following statement is most accurate about the capital asset pricing model (CAPM)?

选项：

A.

An risk-averse investor should at least hold some of the risk-free asset in his portfolio.

B.

A high-risk stock which is measured as standard deviation of returns will have high expected returns in equilibrium.

C.

All investors who take on risk will hold the identical risky asset in their portfolios.

解释：

C is correct.

Statement C is one of the CAPM's assumptions. A risk-averse investor would accept more risk only when a higher expected return is guaranteed. The CAPM assumes all investors are risk-averse.

感觉说的很中肯，说at least预期也很像正确答案。至少持有一点无风险资产，那不就是在切点左面的意思吗

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5 个答案

Kiko_品职助教 · 2022年04月12日

嗨，从没放弃的小努力你好：


不是的，现代组合管理理论的假设之一是投资者都是风险厌恶的。

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过儿 · 2022年04月12日

我之前说的不清楚，我理解的是风险厌恶的会在左面切点，所以会持有无风险资产，，风险偏好的会在切点右面，才会借钱去投资，我这样理解不对吗。

Kiko_品职助教 · 2022年03月31日

嗨，爱思考的PZer你好：


A说风险厌恶投资者的组合里面至少会持有无风险资产。这句话不对，因为根据CML这条线可以看出来，切点右边可以不持有无风险资产，可以通过无风险利率融资（borrow at risk-free rate)再去投资风险资产，所以A是错的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

过儿 · 2022年03月31日

选项a是什么意思啊请问错在哪里

Kiko_品职助教 · 2022年03月30日

嗨，爱思考的PZer你好：


切点右边是不持有无风险资产的啊，是通过无风险利率融资（borrow at risk-free rate)再去投资风险资产


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