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.
total risk=60%×12.9%+30%×6.45%+10%×22.58%=11.933%=standard variance
total return=60%×10%+30%×6%+10%×16%=9.4%
so sharp ratio=(9.4%-2%)/11.933%=0.62