老师考试如上回答可以吗？ 如果两个组合SR不一样，A的S

问题如下：

Anicée Ly is a portfolio manager for a bank and prepares for meetings with two new clients.

Rufus Olssen

Based on a completed risk tolerance questionnaire, Ly concludes that the first client, Rufus Olssen, is moderately risk averse with a mental accounting bias. Olssen desires capital growth with a small amount of income. Ly presents Olssen with the following two portfolios:

Portfolio 1 100% in a global balanced fund that is mean–variance optimized.

Portfolio 2 25% in CDs, 25% in a global bond index fund, 35% in a global equity index fund, and 15% in a high-risk, actively managed, micro-cap equity fund.

Both portfolios provide the same level of income and expected return, and the portfolios have the same Sharpe ratio.

Verochka Calderón

The second client, Verochka Calderón, gives Ly a list of the four highest-performing funds in her defined contribution plan and asks Ly to recommend an allocation. After Calderón completes a risk tolerance questionnaire, Ly determines that Calderón likely exhibits framing and regret biases. Using the four funds, Ly suggests two allocations, presented in Exhibit 1.

Determine, assuming Ly’s bias conclusion is correct, which portfolio Olssen would most likely select.(circle one)

Portfolio 1

Portfolio 2

Justify your response.

选项：

解释：

Olssen would most likely select Portfolio 2.

●A mental accounting bias suggests that Olssen might consider his investments in layers.

●Portfolio 2 has the same income, expected return, and Sharpe ratio as Portfolio 1 and is structured in layers.

The results of the risk tolerance questionnaire suggest that Olssen exhibits a mental accounting bias. He likely compartmentalizes his portfolio into discrete layers of low-risk assets versus risky assets without regard to the correlations among the assets. Portfolio 2 is constructed in this way, with discrete layers for each objective, while Portfolio 1 is constructed to be mean–variance optimized. As a result, Olssen would most likely select Portfolio 2, particularly because it has the same income, expected return, and Sharpe ratio as Portfolio 1.