题目
Which of the following inputs is least likely required for the Markowitz efficient frontier?
选项
A.The expected return of all securities.
B.The covariation between all securities.
C.The level of risk aversion in the market.
D.The variance of all securities.
答案
C
解析
The level of risk aversion in the market is not a required input. The model requires that investors know the expected return and variance of each security as well as the covariance between all securities.市场上的风险规避程度不是必需的数据。 该模型要求投资者了解每种证券的预期收益和方差以及所有证券之间的协方差。