题目
Given a set of risky assets, a Markowitz efficient frontier:
选项
A.can be calculated from the assets\u2019 expected returns and the correlations of returns for each pair of assets.
B.includes all portfolios that reduce the risk level compared to holding a single asset.
C.cannot be generated unless one of the assets has a beta of zero.
D.consists of the portfolios that provide the lowest risk for every level of expected return.
答案
D
解析
The Markowitz efficient frontier is the set of possible portfolios that provide the highest return for each level of risk, or the lowest risk for each level of return. To generate an efficient frontier we need to know the expected returns and standard deviations for each asset, as well as the returns correlations for each pair of assets.Markowitz有效前沿是指可能为每个风险级别提供最高回报或为每个回报级别提供最低风险的投资组合。 为了产生有效的边界，我们需要知道每种资产的预期收益和标准差，以及每对资产的收益相关性。