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小菜菜 · 2024年07月17日

想和老师确认一下，corner portfolio的计算还在今年的考纲中吗~

  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%.

想和老师确认一下，今年的考纲是否还涉及corner portfolio的计算呢？

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lynn_品职助教 · 2024年07月18日

嗨，努力学习的PZer你好：


书上还有个例题，即协会19年考纲改之前喜欢出两个corner，现在喜欢corner+rf，现在对这个计算已经不讲什么了。

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2024-06-19 11:42 1 · 回答

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