Given a number of risky assets and a riskless asset, the set of efficient portfolios in the mean-variance optimization sense are combinations of the riskless asset and a unique optimal risky portfolio. This note shows how a simple modification of Markowitz' method of critical lines can be used...
tangency portfolio Graph shown below. 11. The graph indicates that the optimal portfolio is the tangency portfolio with expected return approximately 15.6% and standard deviation approximately 16.5%. 7-3 12. The proportion of the optimal risky portfolio invested in the stock fund is given by: wS...
Suppose that the risk-free rate is 0.04. Which portfolio is the optimal risky portfolio? (Assume that one of them is indeed the optimal risky portfolio.) Explain. What quantifies the relationship between the expected return and standard deviation for portfolios cons...
B is correct. Although the capital allocation line includes all possible combinations of the risk-free asset and any risky portfolio, the capital market line is a special case of the capital allocation line, which uses the market portfolio as the optimal risky portfolio.【释义】虽然资本配置线包括...
•Treynor-Blackmodel–Theoptimizationusesanalysts’forecastsofsuperiorperformance.–Themodelisadjustedfortrackingerrorandforanalystforecasterror.•Black-Littermanmodel INVESTMENTS|BODIE,KANE,MARCUS 27-3 Table27.1ConstructionandPropertiesoftheOptimalRiskyPortfolio INVESTMENTS|BODIE,KANE,MARCUS 27-4 Spreadsheet27.1...
If all investors have the same expectations, then all investors should invest in the same optimal risky portfolio, therefore implying the existence of only one optimal portfolio (i.e., the market portfolio).【释义】同质性假设是指所有投资者对未来现金流具有相同的经济预期。如果所有的投资者都有相同...
Why the portfolio manager will offer the same optimal risky portfolio to all clients regardless of their degree of risk aversion? Portfolio manager: A portfolio manager is a person who invests on behalf of another person. He makes known to h...
英语翻译13.Consider a risky portfolio,A,with an expected rate of return of 0.15 and a standard deviation of 0.15,that lies on a given indifference curve.Which one of the following portfolios might lie on the same indifference curve?(A)E(r) = 0.15
13.Consider a risky portfolio,A,with an expected rate of return of 0.15 and a standard deviation of 0.15,that lies on a given indifference curve.Which one of the following portfolios might lie on the same indifference curve?(A)E(r) = 0.15; Standard deviation = 0.20 (B)E(r) = 0.15;...
32.The line representing all combinations of portfolio expected returns and standard deviations that can be constructed from two available assets is called the (A)Capital Allocation Line (B)Security Market Line (C)efficient frontier (D)portfolio opportunity set 33. Given an optimal risky portfolio ...