L1 portfolio management 的两道notes题 management

chinawzgyf2

Notes 第4本第195页

4. Beta is best described as the:

A. slope of the security market line.

B. correlation of returns with those of the market portfolio.

C. covariance of returns with the market portfolio expressed in terms of the

variance of market returns.

5 . According to Markowitz portfolio theory:

A. combining any two risky assets in a portfolio will reduce unsystematic risk

compared to a portfolio holding only one of the two risky assets.

B. adding a risky stock to a (less risky) bond portfolio can decrease portfolio

risk.

C. a portfolio with the minimum risk for its level of expected return lies on the

efficient frontier.

第四题答案是C,我觉得A也对阿?
第五题答案是B,我觉得C也说的过去阿? 答案里说

The efficient frontier consists of

portfolios that have the greatest expected return for a given level of risk.
为什么反过来说就不行呢?

WGLJZJTQGJKMJ

For Question 4, Answer A is not true because the slope of security market line is market premium (Rm-Rf). Note that the difference between CML ans SML is that the X-axis for CML is the Standard Deviation of Market Portfolio, or σ, while X-axis for SML is Beta.

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2013-12-4 21:53

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2013-12-4 21:53

For Question 5, the reason that C is wrong is that for every expected return, you could always add a risk free asset to reduce the σ. However, given a level of risk, the highest return you could get is plotted on the efficient frontier.

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2013-12-4 21:54

chinawzgyf2

非常有道理,太感谢了!

chinawzgyf2

回复 2# WGLJZJTQGJKMJ


    我又有问题了,按照您对于第5题的解释,如果加入risk free asset, 对固定的risk好像也可以取到更高的return,就是CAL高于Efficient Frontier的那一段(short Risk free asset, long portfolio)

mophic

回复 4# chinawzgyf2


    我觉得ls理解也有问题，如果portfolio里加入risk free 那总体expectation就改变了，谈不上在同一水平上
但如果在某一个expectation水平上最小化σ(不加入risk free assets)，还是可能存在不在frontier的情况，看frontier的下面半段
画的是虚线，这段也是最小化σ，但是有更高epx return的组合在它上方，所以它不算在frontier上