开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

暖暖的阳光 · 2025年04月23日

D选项可以增加Sharp ratio

  1. FRM II
  2. Risk Management And Investment Management

NO.PZ2019042401000058

问题如下：

A portfolio manager is revising an equity portfolio with the goal of attaining the optimal portfolio on the portfolio’s efficient frontier. The manager believes this goal can be achieved by replacing a stock in the portfolio with a new stock that is not part of the existing portfolio and keeping the portfolio value constant. The manager considers the following alternative actions:

• Action 1: Sell the stock with the highest marginal VaR and purchase an equivalent value of a new stock that would have the lowest marginal VaR in the portfolio.

• Action 2: Sell a particular stock and purchase an equivalent value of a new stock, which would cause the ratio of expected excess returns to portfolio beta for all stocks in the portfolio to be equal.

• Action 3: Sell a particular stock and purchase an equivalent value of a new stock, which would cause the portfolio betas of all stocks in the portfolio to be equal.

• Action 4: Sell a particular stock and purchase an equivalent value of a new stock, which would significantly decrease the portfolio standard deviation without changing the average excess portfolio return.

Which of the actions above would create an optimal portfolio?

选项：

A.

Action 1

B.

Action 3

C.

Action 2

D.

Action 4

解释：

C is correct. The optimal portfolio is on the efficient frontier. It is the one that maximizes the slope of the tangent from the origin. At this point, the ratio of expected excess returns to portfolio beta (or marginal VaR) for all stocks in the portfolio is equal.

A is incorrect. This action would only minimize the risk of the portfolio. B is incorrect. This action would only minimize the risk of the portfolio.

D is incorrect. This action doesn’t necessarily create an optimal portfolio.

Risk Management and Investment Management

Explain the risk-minimizing position and the risk and return-optimizing position of a portfolio.

Philippe Jorion, Value-at-Risk: The New Benchmark for Managing Financial Risk, 3rd Edition (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: Analytical Methods

significantly decrease the portfolio standard deviation without changing the average excess portfolio return.， 这样Sharp ratio也是增加大的，为什么不对

添加评论
1 个答案

李坏_品职助教 · 2025年04月24日

嗨，努力学习的PZer你好：


题目说，这个人想用一个新的股票（不在当前的投资组合中）替代已有的一只股票，问你如何达到optimal portfolio ?


按照FRM教材的叙述，optimal portfolio的属性如下：

  1. 从原点（origin）做一条直线，与曲线上的一点连接，使这条直线的斜率（slope）达到最大的那个点，就是Optimal portfolio，同时也是直线与曲线的切点。
  2. 根据右边5.38这个公式，此时每一个asset的excess return / β，都是相等的，也就是达到了收益与风险的平衡。


Action 2恰好对应上面的性质2，所以Action 2是对的。


选项D之所以不正确，是因为它只是降低了组合的标准差（风险），但并没有考虑到组合在有效边界上的位置。

要创建一个在有效边界上的最优组合，关键是要最大化单位风险的回报，即最大化夏普比率（Sharpe Ratio），而不是简单地减少风险。

选项D中，尽管风险降低了，但这并不保证夏普比率得到了优化。如果组合的风险减少，但没有考虑组合回报率的变化，那么它并不一定是在有效边界上的最优组合。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 5

    浏览
相关问题

NO.PZ2019042401000058问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1B.Action 3C.Action 2Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho “根据右边5.38这个公式，此时每一个asset的excess return / β”老师好，应该是得塔E/得塔b吧？E/b是斜率吗？横轴既代表了E又代表了b？

2025-04-06 11:15 3 · 回答

NO.PZ2019042401000058 问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1 B.Action 3 C.Action 2 Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho 如题

2024-10-28 13:34 1 · 回答

NO.PZ2019042401000058 问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1 B.Action 3 C.Action 2 Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho 求这道题的解题思路。。

2024-08-18 04:14 1 · 回答

NO.PZ2019042401000058问题如下 A portfolio manager is revising equity portfolio with the goof attaining the optimportfolio on the portfolio’s efficient frontier. The manager believes this gocachievereplacing a stoin the portfolio with a new stothis not part of the existing portfolio ankeeping the portfolio value constant. The manager consirs the following alternative actions:• Action 1: Sell the stowith the highest marginVanpurchase equivalent value of a new stothwoulhave the lowest marginVin the portfolio.• Action 2: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the ratio of expecteexcess returns to portfolio beta for all stocks in the portfolio to equal.• Action 3: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulcause the portfolio betof all stocks in the portfolio to equal.• Action 4: Sell a particulstoanpurchase equivalent value of a new stock, whiwoulsignificantly crease the portfolio stanrviation without changing the average excess portfolio return.Whiof the actions above woulcreate optimportfolio? A.Action 1B.Action 3C.Action 2Action 4 C is correct. The optimportfolio is on the efficient frontier. It is the one thmaximizes the slope of the tangent from the origin. this point, the ratio of expecteexcess returns to portfolio beta (or marginVaR) for all stocks in the portfolio is equal.A is incorrect. This action woulonly minimize the risk of the portfolio. B is incorrect. This action woulonly minimize the risk of the portfolio.is incorrect. This action esn’t necessarily create optimportfolio.Risk Management anInvestment ManagementExplain the risk-minimizing position anthe risk anreturn-optimizing position of a portfolio.Philippe Jorion, Value-at-Risk: The New Benchmark for Managing FinanciRisk, 3rEtion (New York, NY: McGraw-Hill, 2007). Chapter 7. Portfolio Risk: AnalyticMetho 为什么四不对呢？总收益率不变的情况下，总风险越低，不是越优吗？

2024-08-12 00:11 1 · 回答