题目
According to the CAPM, over a single time period, investors seek to maximize their:
选项
A.wealth and are concerned about the tails of return distributions.
B.wealth and are not concerned about the tails of return distributions.
C.expected utility and are concerned about the tails of return distributions.
D.expected utility and are not concerned about the tails of return distributions.
答案
D
解析
CAPM assumes investors seek to maximize the expected utility of their wealth at the end of the period, and that when choosing their portfolios, investors only consider the first two moments of return distribution: the expected return and the variance. Hence, investors are not concerned with the tails of the return distribution.CAPM假定投资者在期末寻求最大程度地发挥其财富的预期效用，并且在选择投资组合时，投资者仅考虑收益分配的前两个时刻：预期收益和方差。 因此，投资者不必担心收益分配的尾部分布。