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卢天悦 · 2023年08月08日

所以risk budgeting达到最优的时候sharpe ratio就是最大的对吗

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000036

问题如下：

Zoe reviews the asset allocation in Exhibit 3, derived from a mean–variance optimization (MVO) model .

The risk free rate is 2%. Determine if the asset allocation achieves optimal Sharpe ratio. Justify your response.

选项：

解释：

An asset allocation is optimal from a risk-budgeting perspective when the ratio of excess return (over the risk-free rate) to MCTR is the same for all assets and matches the Sharpe ratio of the tangency portfolio.

Since the Excess Return/MCTR is the same for all asset class, the asset allocation is optimal from a risk-budgeting perspective and achieves optimal Sharpe ratio.

如题

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lynn_品职助教 · 2023年08月09日

嗨，爱思考的PZer你好：


是的，这里是有一个结论，在下图中。

这句话的意思就是说，用risk budget理论得到的最优组合与MVO最优组合是一样的。

risk budget的条件是excess return of i /MCTRi=excess return of j/MCTRj，此时，portfolio达到最优状态。

MVO理论最优组合是risk free asset与global risky asset的连接线与无差异曲线的切点，切点sharp ratio最大。

也就是achieve optimal sharpe ratio了。

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2023-08-23 19:26 2 · 回答