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<p> <!--StartFragment--></p><p class="0" style="-ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="mso-fareast-font-family: 한양신명조;">무위험이자율이 </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">10%</span><span style="mso-fareast-font-family: 한양신명조;">이고 시장포트폴리오의 기대수익률과 표준편차가 각각 </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">15%, 10%</span><span style="mso-fareast-font-family: 한양신명조;">라 할 때 다음 중 비효율적 포트폴리오는</span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">?</span></p><p class="0" style="-ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt; tab-stops: left blank 19.8pt left blank 80.0pt left blank 120.0pt left blank 160.0pt left blank 200.0pt left blank 240.0pt left blank 280.0pt left blank 320.0pt left blank 360.0pt left blank 400.0pt left blank 440.0pt left blank 480.0pt left blank 520.0pt left blank 560.0pt left blank 600.0pt left blank 640.0pt left blank 680.0pt left blank 720.0pt left blank 760.0pt left blank 800.0pt left blank 840.0pt left blank 880.0pt left blank 920.0pt left blank 960.0pt left blank 1000.0pt left blank 1040.0pt left blank 1080.0pt left blank 1120.0pt left blank 1160.0pt left blank 1200.0pt left blank 1240.0pt;"> <!--[if !supportEmptyParas]--> <!--[endif]--> </p><table style="border: 0.28pt solid rgb(0, 0, 0); border-collapse: collapse; mso-table-overlap: never;"><tbody><tr><td valign="center" style="padding: 1.41pt; border: 0.28pt solid rgb(0, 0, 0); width: 105.4pt; height: 24.24pt;"><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="mso-fareast-font-family: 한양신명조;">포트폴리오</span></p></td><td valign="center" style="padding: 1.41pt; border: 0.28pt solid rgb(0, 0, 0); width: 105.4pt; height: 24.24pt;"><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="mso-fareast-font-family: 한양신명조;">기대수익률</span></p></td><td valign="center" style="padding: 1.41pt; border: 0.28pt solid rgb(0, 0, 0); width: 105.4pt; height: 24.24pt;"><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="mso-fareast-font-family: 한양신명조;">표준편차</span></p></td></tr><tr><td valign="center" style="padding: 1.41pt; border: 0.28pt solid rgb(0, 0, 0); width: 105.4pt; height: 53.32pt;"><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">A</span></p><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">B</span></p><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">C</span></p></td><td valign="center" style="padding: 1.41pt; border: 0.28pt solid rgb(0, 0, 0); width: 105.4pt; height: 53.32pt;"><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">14%</span></p><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">17%</span></p><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">20%</span></p></td><td valign="center" style="padding: 1.41pt; border: 0.28pt solid rgb(0, 0, 0); width: 105.4pt; height: 53.32pt;"><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">8%</span></p><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">16%</span></p><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">20%</span></p></td></tr></tbody></table><p class="0" style="text-align: center; -ms-text-autospace:; -ms-word-break: keep-all; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt; tab-stops: left blank 19.8pt left blank 80.0pt left blank 120.0pt left blank 160.0pt left blank 200.0pt left blank 240.0pt left blank 280.0pt left blank 320.0pt left blank 360.0pt left blank 400.0pt left blank 440.0pt left blank 480.0pt left blank 520.0pt left blank 560.0pt left blank 600.0pt left blank 640.0pt left blank 680.0pt left blank 720.0pt left blank 760.0pt left blank 800.0pt left blank 840.0pt left blank 880.0pt left blank 920.0pt left blank 960.0pt left blank 1000.0pt left blank 1040.0pt left blank 1080.0pt left blank 1120.0pt left blank 1160.0pt left blank 1200.0pt left blank 1240.0pt;"> <!--[if !supportEmptyParas]--> <!--[endif]--> </p><p class="0" style="-ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"><span style="font-family: 한양신명조;"> </span><span style="letter-spacing: 0pt; mso-fareast-font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">① </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">A </span><span style="letter-spacing: 0pt; mso-fareast-font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">② </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">B </span><span style="letter-spacing: 0pt; mso-fareast-font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">③ </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">C </span><span style="letter-spacing: 0pt; mso-fareast-font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">④ </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">A, B </span><span style="letter-spacing: 0pt; mso-fareast-font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">⑤ </span><span style="letter-spacing: 0pt; font-family: 한양신명조; mso-font-width: 100%; mso-text-raise: 0.0pt;">B, C</span></p><p class="0" style="-ms-layout-grid-mode: both; -ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;"> <!--[if !supportEmptyParas]--> <!--[endif]--> </p><p class="0" style="-ms-layout-grid-mode: both; -ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;">좀 헷갈리는 부분이 시장포트폴리오를 기준으로 변동보상율이 높은 포트폴리오가 효율적인건가요? 아니면 그래프상으로</p><p class="0" style="-ms-layout-grid-mode: both; -ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;">시장포트폴리오 위에 있는 포트폴리오가 효율적인가요? 여기서 </p><p class="0" style="-ms-layout-grid-mode: both; -ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;">시장,A,C 포트폴리오가 변동보상율이 0.5이고 B만 0.475 지만</p><p class="0" style="-ms-layout-grid-mode: both; -ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;">그래프상으로는 시장포트폴리오를 기준으로 B,C가 위에 있고 A가 아래에 있네요</p><p class="0" style="-ms-layout-grid-mode: both; -ms-text-autospace:; mso-pagination: none; mso-padding-alt: 0.0pt 0.0pt 0.0pt 0.0pt;">A랑 B중 무엇이 효율적포트폴리오 인가요?</p>
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첫댓글 A, C가효율적포트폴리오입니다.
원래 변동보상율이라는 말을쓰나요..? 어쨋든 그 말씀하신 변동보상율만으로 판별하는겁니다.
그래프상으로 위라는 말씀은, Y축은 기대수익률만 나타내죠. 기대수익률이 높은 효율적 포트폴리오도 있고, 낮은 효율적 포트폴리오도 있죠.
답변 감사합니다 ^^
시장 포트폴리오의 샤프지수는 CML 선상에 있으니까 이것보다 더 큰 샤프지수를 가진 건 있을 수 없어요! a나 b둘다 샤프지수0.5로 CML선상에 있으므로 비체계적 위험이 없는 효율적 포트폴리오입니다.
이해가 잘 안되네요 말씀하신 샤프지수로 따지면 A,C가 0.5고 B는 아니지 않나요?
아... 에이만 구해보고 댓글 잘못 달았네요ㅋㅋㅋ 하여튼 개념만 이해하시면 되어요
비체계적 위험 없는 자산만 CML 선상에 올라갈 수 있고, 이게 제일 효율적인 선이므로 이것보다 위에 있는 자산이라는 건 존재할 수가 없고, 보통 개별주식은 CML선상보다 아래에 있아요 비체계적 위험이 있기 때문에
@동구동구 정확한 답변 감사합니다 ^^