Which of the following statements is least likely to be an assumption about
investor behaviour underlying the Markowitz model?
A. Investors maximize one-period expected return
B. Investors base their decisions solely on expected return and risk
C. Investors have utility curves that are a function of expected returns and
variance.
Answer: A
“Managing Investment Portfolio: A Dynamic Process” John Maginn, Donald
Tuttle, Denis McLeavy, Jerald Pinto
2009 Modular Level I, Vol 4, p 225-226
Study Session 12-50 b;
The candidate should be able to list the assumptions about investor behaviour
underlying the Markowitz model;
Investors maximize one-period expected utility, and their utility curves demonstrate
diminishing marginal utility of wealth.
Qn: Slightly confused... just want to check if I am alone. After reading closely ..think I know where I am mistaken but...作者: RobertA 时间: 2011-7-11 18:44
thanks for posting, you're not alone as I had this incorrect as well and is on the "REVIEW" pile...作者: Bluetick1010 时间: 2011-7-11 18:44
The assumption that they have the same time horizon is part of capital markets theory.
