NO.PZ2022122801000032
问题如下：
PZ endowment’s overall
investment objective is to maintain its portfolio’s real purchasing power after
distributions.
• The
risk-free rate is 2%.
• An expected
inflation rate is 1.5%.
• The cost of
earnings investment returns is 50 bp.
• PZ targets a
3% annual distribution of assets.
Exhibit 1
gives key outputs from a mean–variance optimization in which asset class
weights are constrained to be non-negative.
To achieve PZ’s expected return, the most appropriate percentage for PZ’s investment in corner portfolio is:
选项：
A.77%
61%
51%
解释：
PZ’s assets shall be invested with the objective of earning an average nominal 5.07% annual return. This level reflects a spending rate of 3%, an expected inflation rate of 1.5%, and a 50bp cost of earning investment returns. The calculation is (1.03)(1.015)(1.005)−1 = 0.0507, or 5.07%.
Note that Portfolio 4 has the highest Sharpe ratio and is the tangency portfolio. With an expected return of 5.07%, it can be combined with the risk-free asset, with a return of 2%, to achieve an expected return of 5.07%:
5.07% = 6%w + 2%×(1−w)
w = 76.75%
Placing about 77% of assets in Portfolio 4 and 23% in the risk-free asset achieves an efficient portfolio with expected return of 5.07%.
书上有一道例题是用safety first ratio来选最优组合，请问sharpe ratio和safety first ratio适用场景如何区分。
