问一道题：NO.PZ2018091701000038

NO.PZ2018091701000038问题如下 Analysts collectesome market ta to finmaximum Sharpe ratio of manager, baseon his analysis, market’s expecteannureturn is 7%, return stanrviation is 24%, Sharpe ratio is 0.41. Universe funhactive return 6% anactive risk 12%. Please calculate the maximum Sharpe ratio: 0.33 0.65 0.42 B is correct.考点考察公式 SR2p=SR2B+IR2解析第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5第二步代入公式SR2p=SR2B+IR2=0.412+0.52=0.42第三步开根号0.42得到0.65之前的拷贝如下①Rb-Rf≠7%，根据SRb=0.41和σb=24%可以得到Rb-Rf=9.84%②SRp分子的计算方式是由于IR=0.5，所以代入optimactive risk即σA后得到active return（即Rp-Rb）=14.635%。所以Rp-Rb=14.635%+9.84%=24.475%③SRp的分母不是σA，σA是optimactive risk，并不是σp，σp的算法为根号下 σb的平方+σA的平方，最后算出来应该是37.85%所以这种方法最后算出来的SRp=24.475%/37.85%=0.6466。和答案一致请问σA等于0.2927如何得到的？我算不出来

NO.PZ2018091701000038问题如下 Analysts collectesome market ta to finmaximum Sharpe ratio of manager, baseon his analysis, market’s expecteannureturn is 7%, return stanrviation is 24%, Sharpe ratio is 0.41. Universe funhactive return 6% anactive risk 12%. Please calculate the maximum Sharpe ratio: 0.33 0.65 0.42 B is correct.考点考察公式 SR2p=SR2B+IR2解析第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5第二步代入公式SR2p=SR2B+IR2=0.412+0.52=0.42第三步开根号0.42得到0.65return stanrviation 的应用

NO.PZ2018091701000038问题如下 Analysts collectesome market ta to finmaximum Sharpe ratio of manager, baseon his analysis, market’s expecteannureturn is 7%, return stanrviation is 24%, Sharpe ratio is 0.41. Universe funhactive return 6% anactive risk 12%. Please calculate the maximum Sharpe ratio: 0.33 0.65 0.42 B is correct.考点考察公式 SR2p=SR2B+IR2解析第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5第二步代入公式SR2p=SR2B+IR2=0.412+0.52=0.42第三步开根号0.42得到0.65我怎么知道用这个公式就是最大的sp了？前面的0.41又没说明最大

NO.PZ2018091701000038问题如下 Analysts collectesome market ta to finmaximum Sharpe ratio of manager, baseon his analysis, market’s expecteannureturn is 7%, return stanrviation is 24%, Sharpe ratio is 0.41. Universe funhactive return 6% anactive risk 12%. Please calculate the maximum Sharpe ratio: 0.33 0.65 0.42 B is correct.考点考察公式 SR2p=SR2B+IR2解析第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5第二步代入公式SR2p=SR2B+IR2=0.412+0.52=0.42第三步开根号0.42得到0.65请问这个return stanrviation是active risk 吗

NO.PZ2018091701000038 问题如下 Analysts collectesome market ta to finmaximum Sharpe ratio of manager, baseon his analysis, market’s expecteannureturn is 7%, return stanrviation is 24%, Sharpe ratio is 0.41. Universe funhactive return 6% anactive risk 12%. Please calculate the maximum Sharpe ratio: 0.33 0.65 0.42 B is correct.考点考察公式 SR2p=SR2B+IR2解析第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5第二步代入公式SR2p=SR2B+IR2=0.412+0.52=0.42第三步开根号0.42得到0.65 我读题干的时候始终认为0.41说的是portfolio的SR，然后用 (0.412−0.52) 是无法求出的，只能通过这一点来推断题里给的SR可能是benchmark SR，但希望指导员可以帮我指出我忽略掉的hints，谢谢