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polucn · 2024年06月19日

2和3 怎么选择

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000031

问题如下：

PZ’s assets shall be invested with the objective of earning an average nominal 5% annual return. The risk-free rate is determined to be 1.5%. Exhibit 1 gives key outputs from a mean–variance optimization in which asset class weights are constrained to be non-negative.

Select one corner portfolios to be used in achieving an efficient portfolio with expected return of 5% , the most appropriate percentage for PZ’s investment in risk-free asset is:

选项：

A.

22%

B.

30%

C.

56%

解释：

Note that Portfolio 2 has the highest Sharpe ratio and is the tangency portfolio. With an expected return of 5%, it can be combined with the risk-free asset, with a return of 1.5%, to achieve an expected return of 5%:

5% = 1.5%w + 6%×(1−w)

w = 22.22%

Placing about 78% of assets in Portfolio 2 and 22% in the risk-free asset achieves an efficient portfolio with expected return of 5%.

为什么选择2而不是3？

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1 个答案

lynn_品职助教 · 2024年06月19日

嗨，从没放弃的小努力你好：


这道题是考corner portfolio，而且是可以投资risk free也就是可以举杠杆的意思，我们做题的思路如下：


1.选取SR最大的corner portfolio，因为有效前沿上的组合与无风险资产再组合，是不改变SR的。


2.根据题目条件看是否允许举杠杆。这道题是可以的，所以到这里就结束了


接着就是计算，5% = 1.5%w + 6%×(1−w)


这个知识点现在不是特别重点了，看一下就可以


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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