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Lareina · 2025年06月12日

excess return 是怎么得的？

  1. CFA III
  2. Asset Allocation

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.

excess return 是怎么得的？

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1 个答案

Lucky_品职助教 · 2025年06月12日

嗨，爱思考的PZer你好：


excess return 是由expected return减去risk free rate得到的。比如global equities的expected return是10%，risk free rate是2%，所以excess return 是8%。

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