岳同學(xué)
2020-08-31 11:54Asset Allocation 2016 Q4 請問考試中這樣寫可以嗎? A 1. We should choose two corner portfolios with the highest sharp ratios, which can synthesize to the required rate of return; they are portfolio 3 and 4. 2. 8.6x – 7.65(1-x) = 8; x = 36.8%; The advisor should allocate 36.8% of capital to portfolio 3 and 63.25% of capital to portfolio 4. B 1. The advisor should suggest the investor to leverage a portfolio with the highest sharp ratio, which is portfolio 4, to achieve the required rate of returns. 2. 7.65x ＋ 0.5(1-x) = 8; x = 1.049. The investor should leverage 1.049 times of portfolio 4. C 1. Unleveraged SAA combines two risky assets together which have a positive correlation and will increase expected volatility. However, leveraged SAA combines a risky asset with a risk-free asset, offering lower expected volatility.
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Johnny助教
2020-09-07 17:46
該回答已被題主采納
同學(xué)你好
A. 1.這里不是使用夏普比率最高的2個組合，否則要是用夏普比率就是4和5進(jìn)行組合了。這里是要用8%回報(bào)率的兩個相鄰組合（adjacent portfolio）也就是3和4。
B.沒啥問題
C.題目沒有明確說明兩者的相關(guān)系數(shù)，所以最好不要假定3和4是高度正相關(guān)，還是根據(jù)夏普比率的思路出發(fā)比較穩(wěn)妥。
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