投资学答案7-11章.docVIP

第七章答案 7. In Dode’s case: σp=9.2% The portfolio’s standard deviation will be at a maximum when the correlation between securities A and B is 1. That is: σp=23.3% If the efficient set were not concave, it would be possible to construct portfolio that dominate portfolios on the efficient set. By definition, the efficient set contains portfolios that offer maximum expected return for given levels of risk and minimum risk for given levels of expected return. Yet if offer lower risk for a given expected return or higher expected return for a given level of risk, then the efficient set portfolios are