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Shawnxz · 2023年08月09日

请问这题在讲义哪里啊？没有看到

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000031

问题如下：

PZ’s assets shall be invested with the objective of earning an average nominal 5% annual return. The risk-free rate is determined to be 1.5%. Exhibit 1 gives key outputs from a mean–variance optimization in which asset class weights are constrained to be non-negative.

Select one corner portfolios to be used in achieving an efficient portfolio with expected return of 5% , the most appropriate percentage for PZ’s investment in risk-free asset is:

选项：

A.

22%

B.

30%

C.

56%

解释：

Note that Portfolio 2 has the highest Sharpe ratio and is the tangency portfolio. With an expected return of 5%, it can be combined with the risk-free asset, with a return of 1.5%, to achieve an expected return of 5%:

5% = 1.5%w + 6%×(1−w)

w = 22.22%

Placing about 78% of assets in Portfolio 2 and 22% in the risk-free asset achieves an efficient portfolio with expected return of 5%.

请问这题在讲义哪里啊？没有看到

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已采纳答案

lynn_品职助教 · 2023年08月10日

嗨，努力学习的PZer你好：


corner portfolio在18年改考纲前要求比较高，改考纲后掌握到我们押题讲义上的程度即可，原版书上是用例题来展示的，在74页example里，时间充足的话可以翻阅一下


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加油吧，让我们一起遇见更好的自己！

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NO.PZ2022122801000031 问题如下 PZ’s assets shall beinvestewith the objective of earning average nomin5% annureturn. Therisk-free rate is termineto 1.5%. Exhibit 1 gives key outputs from a mean–varianceoptimization in whiasset class weights are constraineto non-negative.Seleone corner portfolios to usein achieving efficient portfolio with expectereturn of 5% , the most appropriatepercentage for PZ’s investment in risk-free asset is: 22% 30% 56% Note thPortfolio 2 hthe highest Sharpe ratio anis the tangenportfolio. With expectereturn of 5%, it ccombinewith the risk-free asset, with a return of 1.5%, to achieve expectereturn of 5%:5% = 1.5%w + 6%×(1−w)w = 22.22%Placing about 78% of assets in Portfolio 2 an22% in the risk-free asset achieves efficient portfolio with expectereturn of 5%. 想和老师确认一下，今年的考纲是否还涉及corner portfolio的计算呢？

2024-07-17 20:14 1 · 回答

NO.PZ2022122801000031 问题如下 PZ’s assets shall beinvestewith the objective of earning average nomin5% annureturn. Therisk-free rate is termineto 1.5%. Exhibit 1 gives key outputs from a mean–varianceoptimization in whiasset class weights are constraineto non-negative.Seleone corner portfolios to usein achieving efficient portfolio with expectereturn of 5% , the most appropriatepercentage for PZ’s investment in risk-free asset is: 22% 30% 56% Note thPortfolio 2 hthe highest Sharpe ratio anis the tangenportfolio. With expectereturn of 5%, it ccombinewith the risk-free asset, with a return of 1.5%, to achieve expectereturn of 5%:5% = 1.5%w + 6%×(1−w)w = 22.22%Placing about 78% of assets in Portfolio 2 an22% in the risk-free asset achieves efficient portfolio with expectereturn of 5%. 为什么选择2而不是3？

2024-06-19 11:42 1 · 回答