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害羞的国宝🎄 · 2022年07月11日

这道题portfolio 1的return最高，为啥不选portfolio1呢？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000302

问题如下：

A broker proposes to Young three portfolios, shown in Exhibit 1. The broker also provides Young with asset class estimated returns and portfolio standard deviations in Exhibit 2 and Exhibit 3, respectively. The broker notes that there is a $500,000 minimum investment requirement for alternative assets. Finally, because the funds in the money market account are readily investible, the broker suggests using that account only for this initial investment round.


Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. Young’s capital gains and overall tax rate is 25%.

Determine which proposed portfolio most closely meets Young’s desired objectives. (Circle one.) Justify your response.


解释：



这道题portfolio 1的return最高，为啥不选portfolio1呢？

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1 个答案

lynn_品职助教 · 2022年07月13日

嗨，努力学习的PZer你好：


因为题干中说到Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk.

首先我们肯定是不能只看收益单项指标的，如果用风险和收益的综合指标，risk-adjusted return，如夏普比率最高来选择最佳组合，那么看这个单独的数据也可以。但这个题目是将收益和风险分开，第一个标准是收益要满足最低6%，计算后发现三个组合都满足；第二个标准是风险尽可能低，即要选择标准差或者方差最低的组合。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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