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Wuyyyyyy · 2023年06月28日

incremental risk

  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：



一般用什么指标表示incremental risk呢

是不是夏普比率呢

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1 个答案

lynn_品职助教 · 2023年06月29日

嗨，爱思考的PZer你好：


sharp ratio不能很好地体现增量风险，


有两个常见的指标可以看一下


1. Value at Risk（风险价值）：Value at Risk是一种用于衡量投资组合可能面临的最大损失的指标。较高的Value at Risk值表示投资组合面临更高的增量风险。


2. Tracking Error（跟踪误差）：跟踪误差是衡量被动投资组合与其基准指数之间的差异的指标。较高的跟踪误差表示投资组合与基准之间的差异较大，因此具有较高的增量风险。


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