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LuckyJack · 2025年01月14日

这题为何不用SFR最高的来解呢？

  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%.

如题，这里也有minimum acceptable return，也就是5%，为何不用SFR而只用SR呢？

谢谢！

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