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西红柿面 · 2025年06月20日

在最Optimal的时候，The Ratio of Excess return(over the risk-free rate)

  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.

不是有个说法，在最Optimal的时候，The Ratio of Excess return(over the risk-free rate) to MCTR = Sharpe Ratio吗？但这道题计算出来的Sharpe Ratio都不相等呀，我是从这个角度去判断的

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西红柿面 · 2025年06月20日

另外额外再想问一下，就是Sharpe Ratio的分母，到底是ACTR还是MCTR？

1 个答案

Lucky_品职助教 · 2025年06月23日

嗨，爱思考的PZer你好：


夏普比率的分母是标准差，这道题里没有给这个信息，所以你这个判断的角度是不对的。

这道题判断资产配置是否实现最优夏普比率的逻辑，并非依赖直接计算，而是通过各资产 “超额收益 / MCTR” 是否相等来验证风险预算分配的有效性， 当该比值相等时，组合必然位于有效前沿，对应最优夏普比率，这是均值 - 方差优化模型下的理论结论，无需额外知道标准差即可通过风险预算均衡性判断。

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