Ladybing
2021-07-30 12:19老師麻煩解答一下這個(gè)題目:for a given portfolio, having a Treynor measure greater than the market but a sharp measure that is less than the market would most likely indicate the portfolio is: A not well diversified B. generating a negative alpha C. borrowing at the risk free rate D. not borrowing at the risk free rate. 答案是A,求解答
所屬:FRM Part I > Foundations of Risk Management 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
2個(gè)回答
Yvonne助教
2021-07-30 13:25
該回答已被題主采納
同學(xué)你好,CML線的斜率是市場組合的sharpe ratio,根據(jù)題目中投資組合的sharpe ratio小于市場組合的sharpe ratio,說明這個(gè)投資組合位于CML線以下,所以這個(gè)投資組合不是充分分散化的投資組合。同學(xué)下次題目可以直接貼圖片,這樣就不用打字了,打字有時(shí)候可能有內(nèi)容遺漏。
Muko
2025-03-13 23:48
該回答已被題主采納
所以老師,這題不需要考慮Treynor ratio嗎?
