开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

mousesky · 2024年03月28日

为什么不用sharpe ratio来判断

* 问题详情,请 查看题干

NO.PZ202206210100000404

问题如下:

The asset allocation choice in Exhibit 2 that has the highest probability of meeting the committee’s desired return criteria is allocation:

选项:

A.3 B.1 C.2

解释:

Solution

C is correct. The allocation that has the highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expected annual return – target return)/return volatility, which is Ratio 2 in Exhibit 2. Allocation 2 has the highest value for this ratio.

B is incorrect. Allocation 2 has the highest value for Ratio 2. Allocation 1 has the highest Sharpe Ratio.

A is incorrect. Allocation 2 has the highest value for this Ratio 2. Allocation 3 has the highest Treynor Measure.

RT

3 个答案
已采纳答案

lynn_品职助教 · 2024年03月29日

嗨,努力学习的PZer你好:


区分用哪个指标是我们三级的一个考点,


这类题的解题步骤:

第一步 看题目中有没有提到risk-adjusted expected return,

第二步 就是计算各自组合的收益(一般来说如果没有提到risk那就只靠收益来判断就可以了)

第三步 在提到risk- adjusted的情况下,用SFR还是SR就看最低期望收益率了,因为这两个都是风险调整后的收益,此时如果说了要满足目标收益率而不是risk free rate就一定要使用SFR。


如这道题提到 meeting the committee’s desired return criteria,就是不能用Sharpe ratio了。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

Xiaochong · 2024年06月02日

所以想再确认一下: 这道题考的就是Information ratio对吧?

思思 · 2024年06月07日

老师,还是没看懂

lynn_品职助教 · 2024年06月10日

嗨,爱思考的PZer你好:


没看懂的这位同学,是题目有疑问还是知识点有疑问?哪一个指标不理解吗?

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

lynn_品职助教 · 2024年06月03日

嗨,努力学习的PZer你好:


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 3

    回答
  • 0

    关注
  • 238

    浏览
相关问题

NO.PZ202206210100000404 问题如下 The asset allocation choiin Exhibit 2 thhthe highest probability of meeting the committee’s sirereturn criteria is allocation: A.3 B.1 C.2 SolutionC is correct. The allocation thhthe highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expecteannureturn – target return)/return volatility, whiis Ratio 2 in Exhibit 2. Allocation 2 hthe highest value for this ratio.B is incorrect. Allocation 2 hthe highest value for Ratio 2. Allocation 1 hthe highest Sharpe Ratio.A is incorrect. Allocation 2 hthe highest value for this Ratio 2. Allocation 3 hthe highest Treynor Measure. 就是想问问ratio 3是什么ratio

2024-10-01 14:04 1 · 回答

NO.PZ202206210100000404 问题如下 The asset allocation choiin Exhibit 2 thhthe highest probability of meeting the committee’s sirereturn criteria is allocation: A.3 B.1 C.2 SolutionC is correct. The allocation thhthe highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expecteannureturn – target return)/return volatility, whiis Ratio 2 in Exhibit 2. Allocation 2 hthe highest value for this ratio.B is incorrect. Allocation 2 hthe highest value for Ratio 2. Allocation 1 hthe highest Sharpe Ratio.A is incorrect. Allocation 2 hthe highest value for this Ratio 2. Allocation 3 hthe highest Treynor Measure. 助教你好助教在其他问题下的回复说这题的ratio 2是information ratio。information ratio的分母是σ (Rp-Rb);而本题表格说σ is annuvolatility,annuvolatility应该是σ (Rp)吧?如果是σ (Rp),那ratio 2应该是safety-first ratio吧?

2024-06-22 11:51 1 · 回答

NO.PZ202206210100000404问题如下The asset allocation choiin Exhibit 2 thhthe highest probability of meeting the committee’s sirereturn criteria is allocation:A.3B.1C.2SolutionC is correct. The allocation thhthe highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expecteannureturn – target return)/return volatility, whiis Ratio 2 in Exhibit 2. Allocation 2 hthe highest value for this ratio.B is incorrect. Allocation 2 hthe highest value for Ratio 2. Allocation 1 hthe highest Sharpe Ratio.A is incorrect. Allocation 2 hthe highest value for this Ratio 2. Allocation 3 hthe highest Treynor Measure.ratio1是sharpe ratio,ration3是Treynor ratio,ratio2是什么?为什么不选sharpe ratio最高的

2024-06-07 22:22 1 · 回答

NO.PZ202206210100000404 问题如下 The asset allocation choiin Exhibit 2 thhthe highest probability of meeting the committee’s sirereturn criteria is allocation: A.3 B.1 C.2 SolutionC is correct. The allocation thhthe highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expecteannureturn – target return)/return volatility, whiis Ratio 2 in Exhibit 2. Allocation 2 hthe highest value for this ratio.B is incorrect. Allocation 2 hthe highest value for Ratio 2. Allocation 1 hthe highest Sharpe Ratio.A is incorrect. Allocation 2 hthe highest value for this Ratio 2. Allocation 3 hthe highest Treynor Measure. 如题

2023-06-18 18:26 2 · 回答