题目
Consider the following three well-diversified portfolios that exist in a single-factor economy: 「huixue_img/importSubject/1564170579064524800.png」 Is there an arbitrage opportunity?
选项
A.No, all three well-diversified portfolios plot on the security market line.
B.Yes, an arbitrage includes buying portfolio (A) and selling a combination of (B) and (C).
C.Yes, an arbitrage includes buying portfolio (B) and selling a combination of (A) and (C).
D.Yes, an arbitrage includes buying portfolio (C) and selling a combination of (A) and (B).
答案
C
解析
There is no arbitrage opportunity if all three well-diversified portfolios plot on the security market line (SML). This can be tested by calculating their respective Treynor ratios.Treynor(A)=(9.0%-1.0%)/1.60=0.050Treynor(B)=(7.0%-1.0%)/1.10=0.0545Treynor(C)=(4.0%-1.0%)/0.60=0.050Our arbitrage is to buy the "cheap" Portfolio B (with the higher Treynor) and sell the "expensive" blend of Portfolios (A) and (C). 如果所有三个完全分散的投资组合都位于证券市场线（SML）上，则没有套利机会。可以通过计算它们各自的特雷诺比率进行判断。 Treynor(A)=(9.0%-1.0%)/1.60=0.050 Treynor(B)=(7.0%-1.0%)/1.10=0.0545 Treynor(C)=(4.0%-1.0%)/0.60=0.050 我们的套利是购买“便宜”的投资组合B（具有较高的特雷诺比率），并出售投资组合（A）和（C）的“昂贵”组合。