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V plus · 2024年07月27日

为什么用risk budget理论得到的最优组合与MVO最优组合是一样的？

  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.

MVO的缺点之一： source of risk may not be diversified

解决的方法用risk budgeting

为什么结果会一样了呢？

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1 个答案

lynn_品职助教 · 2024年07月28日

嗨，爱思考的PZer你好：


这个和优缺点不是一回事哦，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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