标题: efficient frontier and reducing standard deviation [打印本页] 作者: wildrose 时间: 2011-7-13 16:50 标题: efficient frontier and reducing standard deviation
Investor A currently owns a portfolio lying on the Markowitz efficient frontier that has an expected return equal to 15% and standard deviation equal to 15%.
Investor A tells his adviser he would prefer a portfolio lying on the Markowitz efficient frontier with standard deviation equals to 10%. Which of the following most likely describes the expected return on Investor A's portfolio?
expected return will be
a) equal to 10%
b) less than 10%
c)greater than 10%作者: Londonrocks 时间: 2011-7-13 16:50
I answered C as well.
But Schweser says B is correct.
Vol -2 Exam-3 AM Q79
I think the question is not clearly stated...
The slope is really depends on where you stand on efficient frontier. It begins with steeper slope and gradually reduce when it moves to right...作者: Finalnub 时间: 2011-7-13 16:50
I think this comes in the steeper slope part .. so 5% reduction in risk would result in greater than 5% reduction in return- but I agree the qn is not complete
