如题

问题如下：

A portfoliomanager is revising an equity portfolio with the goal of attaining the optimalportfolio on the portfolio’s efficient frontier. The manager believes this goalcan be achieved by replacing a stock in the portfolio with a new stock that isnot part of the existing portfolio and keeping the portfolio value constant.The manager considers the following alternative actions:

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

• Action 2: Sell a particular stock andpurchase an equivalent value of a new stock, which would cause the ratio ofexpected excess returns to portfolio beta for all stocks in the portfolio to beequal.

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

• Action 4: Sell a particular stock andpurchase an equivalent value of a new stock, which would significantly decreasethe portfolio standard deviation without changing the average excess portfolioreturn.

Which of the actions above would createan optimal portfolio?

选项：

A.

Action 1

B.

Action 2

C.

Action 3

D.

Action 4

解释：

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

A is incorrect. This action would onlyminimize the risk of the portfolio.

C is incorrect. This action would onlyminimize the risk of the portfolio.

D is incorrect. This action doesn’tnecessarily create an optimal portfolio.