问题如下图：
选项：
A. 
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C. 
解释：
NO.PZ2015121810000014问题如下The benchmark portfolio is the S P 500. Whiof the following three portfolios ccombinewith the benchmark portfolio to prothe highest combineSharpe ratio? A.Portfolio AB.Portfolio BC.Portfolio CB is correct.The active portfolio this optimis the portfolio with the highest Information ratio, the ratio of active return to active risk. The IRs for the three active portfolios are: IRAIR_AIRA= 1.0/10.0 = 0.10IRBIR_BIR= 0. 5/3.0 = 0.167IRCIR_CIRC= 0/2.0 = 0.00Portfolio B hthe highest IR anis the best active portfolio; it is therefore the best portfolio to combine with the benchmark.考点Sharpe ratio解析SR2=SRB2+IR2SR^2=SR_B^2+IR^2SR2=SRB2+IR2，benchmark的Sharpe ratio对于每个Combineportfolio都相同，因此information ratio最大的组合将会得到最大的CombineSharpe ratio。ABC组合的IR分别为0.1，0.167，0。 组合B的IR最大，因此， combineSharpe ratio 最大。本题为什么不用最优IR来求解呢？
Portfolio B Portfolio C B is correct. The active portfolio this optimis the portfolio with the highest Information ratio, the ratio of active return to active risk. The IRs for the three active portfolios are: IRAIR_AIRA= 1.0/10.0 = 0.10 IRBIR_BIRB = 0. 5/3.0 = 0.167 IRCIR_CIRC= 0/2.0 = 0.00 Portfolio B hthe highest IR anis the best active portfolio; it is therefore the best portfolio to combine with the benchmark. 考点Sharpe ratio 解析 SR2=SRB2+IR2SR^2=SR_B^2+IR^2SR2=SRB2+IR2，benchmark的Sharpe ratio对于每个Combineportfolio都相同，因此information ratio最大的组合将会得到最大的CombineSharpe ratio。 ABC组合的IR分别为0.1，0.167，0。 组合B的IR最大，因此， combineSharpe ratio 最大。讲义里说SR combine等于SR portfolio，为什么不能直接用portfolio A的SR最大来判断？
