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awen · 2023年08月23日

我这么写的答案是不是不对？

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000036

问题如下：

Zoe reviews the asset allocation in Exhibit 3, derived from a mean–variance optimization (MVO) model .

The risk free rate is 2%. Determine if the asset allocation achieves optimal Sharpe ratio. Justify your response.

选项：

解释：

An asset allocation is optimal from a risk-budgeting perspective when the ratio of excess return (over the risk-free rate) to MCTR is the same for all assets and matches the Sharpe ratio of the tangency portfolio.

Since the Excess Return/MCTR is the same for all asset class, the asset allocation is optimal from a risk-budgeting perspective and achieves optimal Sharpe ratio.

total risk=60%×12.9%+30%×6.45%+10%×22.58%=11.933%=standard variance

total return=60%×10%+30%×6%+10%×16%=9.4%

so sharp ratio=(9.4%-2%)/11.933%=0.62

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lynn_品职助教 · 2023年08月24日

嗨，努力学习的PZer你好：


哈哈，其实我觉得我写错了，所以问下，应该是计算每一个资产的excess return/risk相等吧，我写的是一个统一的计算，没有考虑这个相等的问题，我看答案好像是让各个资产🟰，是risk parity那个思路。


计算是没有问题的，因为题目是问 Determine，然后Justify your response.那么要写出为什么，考的知识点是用risk budget理论得到的最优组合与MVO最优组合是一样的。


Determine if the asset allocation achieves optimal Sharpe ratio. Justify your response.




risk budget的条件是excess return of i /MCTRi=excess return of j/MCTRj，此时，portfolio达到最优状态。


MVO理论最优组合是risk free asset与global risky asset的连接线与无差异曲线的切点，切点sharp ratio最大。


也就是achieve optimal sharpe ratio了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

lynn_品职助教 · 2023年08月24日

嗨，爱思考的PZer你好：


最下面那三行吗，是对的呀，如果题目问计算，只要答案正确就可以，如果要求justify，那么加一句话解释即可。

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努力的时光都是限量版，加油！

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