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Basic Question 10 of 10
The Markowitz approach to portfolio optimization includes all of the following except the ______.
B. expected return for the market proxy
C. covariance between rates of return for all pairs of assets
D. weight, or proportion, of each asset in the overall portfolio
A. standard deviation of each asset's rate of return
B. expected return for the market proxy
C. covariance between rates of return for all pairs of assets
D. weight, or proportion, of each asset in the overall portfolio
User Contributed Comments 6
| User | Comment |
|---|---|
| tanyak | What's a market proxy??? |
| gullan | some benchmark like stock index.. |
| Mozon | http://www.russell.com/us/glossary/analytics/market_proxy.htm |
| soarer1 | Markowitz = Risk, Return, Covariance bet. securities |
| johntan1979 | It doesn't exist. At least according to Investopedia: "Finding a true proxy (or reflection) of the market as a whole may not be possible, because a proxy will only be a fragment of the entire market for all risky assets. As well, every proxy for the market would need to be unique, according to what is being traded or measured. For example, the S&P 500 could be used as a market proxy when evaluating the excess returns of a fund manager only using stock from the S&P 500. A different proxy would be needed, however, to assess a manager trading in futures or using fixed-income arbitrage." |
| khalifa92 | market proxy is the benchmark ins specific country like S&P500 is the market proxy in the US every country has a different market proxy. |
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Learning Outcome Statements
describe the implications of combining a risk-free asset with a portfolio of risky assets
explain the capital allocation line (CAL) and the capital market line (CML)
CFA® 2025 Level I Curriculum, Volume 2, Module 2.