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.
The asset allocation achieves optimal Sharpe ratio since all the excess return to MCTR is equal to 0.62, which means the portfolio now is the optimal portfolio.