60.
Which of the following statements regarding the Markowitz efficient frontier is least likely to be correct? The optimal portfolio for:
Select exactly 1 answers from the following:
A. a more risk-averse investor will be different from the optimal portfolio for a less risk-averse investor.
B. an investor is the portfolio that lies on the efficient frontier and provides her with the greatest level of utility.
C. an investor is found at the point of tangency between the efficient frontier and an investor抯 highest utility curve.
D. a more risk-averse investor will lie inside the efficient frontier but will lie outside the efficient frontier for a less risk-averse investor.
答案和详解如下！
Feedback: Correct answer: D
Investment Analysis and Portfolio Management, 7th edition, Frank K. Reilly and Keith C. Brown (Dryden, 2003), pp. 230 2006 Modular Level I, Vol. IV, pp. 771-773 Study Session 18-78-h define optimal portfolio and show how each investor may have a different optimal portfolio
The optimal portfolio will be different for investors with different levels of risk aversion, yet it will always lie on the efficient frontier, not inside or outside the curve.
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发表于 2006-11-21 12:31
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