|
- UID
- 222288
- 帖子
- 321
- 主题
- 3
- 注册时间
- 2011-7-2
- 最后登录
- 2015-12-13
|
Yes it is a tangency portfolio.
It is mathematically proven to have the highest sharpe ratio for THAT particular risk.
However your saying that some securities are over or under valued is not correct. There is an assumption that all the securities are fairly valued as all investors have the same expectations regarding risk and return factors.
The market portfolio will be a moving target but the tangent line will also change accordingly. For that PARTICULAR RISK, it will be have the highest sharpe ratio. |
|
发表于 2011-7-13 16:52
|