投资者正在评估以下可能的投资组合。以下哪一个投资组合最不可能?

时间:2017-12-07 18:30 作者:FRM 来源:未知

An investor is evaluating the following possible portfolios. Which of the following portfolios would least likely
lie on the efficient frontier?

Portfolio Expected Return Standard Deviation
A 26% 28%
B 23% 34%
C 14% 23%
D 18% 14%
E 11% 8%
F 18% 16%
A) C, D, and E.
B) A, E, and F.
C) A, B, and C.
D) B, C, and F.
 
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Answer:D Solution:
 
Portfolio B cannot lie on the frontier because its risk is higher than that of Portfolio A's with lower return.Portfolio
 
C cannot lie on the frontier because it has higher risk than Portfolio D with lower return.Portfolio F cannot lie on the frontier cannot lie on the frontier because its risk is higher than Portfolio D.
 
Basic risk types,measurement and management tools
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