【風(fēng)險(xiǎn)管理基礎(chǔ)&定量分析】FRM一級(jí)每日一題
To describe the shape of the portfolio possibilities curve, which one of the following is best?
- The curve is strictly convex.
- The curve is strictly concave.
- The curve is convex above the minimum variance portfolio and concave below the minimum variance portfolio.
- The curve is concave above the minimum variance portfolio and convex below the minimum variance portfolio.
Answer：D
The portfolio possibilities curve is concave above the minimum variance portfolio and convex below the minimum variance portfolio.
