阿同學
2019-05-14 23:02The market portfolio (M) contains the optimal allocation of only risky assets and no risky assets. Let the S1 be the Sharpe ratio of this market portfolio. There exists a risk-free asset. Initially, an investor is fully (100%) invested in M with a portfolio Sharpe ratio of S1. Subsequently, the investor borrows 30% at the risk-free rate, such that she is 130% invested in the market portfolio (M) where this leverage portfolio has a Sharpe ratio of S2. After the leverage (i.e., borrowing at the risk-free rate to invest 30% in M, is the investor still on the efficient frontier and how do the Sharpe ratios? A No (no longer efficient), and S2 < S1. B No, but S2 = S1. C Yes(still efficient), but S2 < S1. D Yes, and S2 = S1. 為什么改變后還在有效前沿上啊
所屬：FRM Part I 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Robin Ma助教
2019-05-15 11:22
該回答已被題主采納
同學你好，因為CML是市場風險資產(chǎn)組合M和無風險資產(chǎn)之間的組合，因此無論這兩者的比率怎么變，他們始終會在CML線上，只是不同的點代表的權(quán)重是不一樣的。
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