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?

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)