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xiaoe · 2025年06月29日

用ACTR相等的均衡条件计算出来结论不对，请问如何知道用哪个均衡条件来解题

  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.

用ACTR相等的均衡条件计算出来结论不对，请问如何知道用哪个均衡条件来解题

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1 个答案

Lucky_品职助教 · 2025年06月30日

嗨，努力学习的PZer你好：


在MVO中，判断资产配置是否实现最优夏普比率，需依据边际夏普比率（即超额收益与边际风险贡献的比值）相等这一均衡条件。

题目中已计算出各资产的超额收益与边际风险贡献的比值均为 0.62，满足该均衡条件，因此当前配置达到了最优夏普比率。这是因为在MVO框架下，只有当各资产的边际夏普比率相等时，组合才处于切点位置，此时无法通过调整权重进一步提升夏普比率，而绝对风险贡献相等的条件适用于风险平价模型，与本题所使用的均值 - 方差优化模型的均衡逻辑不同，故本题应采用边际夏普比率相等的条件来解题。

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