问题如下图：
选项：
A. 
B. 
C. 
解释：
西塔在公式里又是return standard deviation又是active risk
类似的问题在背公式的时候一直会发生，记了公式，但是带入数字的时候就会模糊定义。很担心一道题如果信息太多会带错数据
为什么第一个公式的西塔benchmark不会被理解为active risk而是收益的标准差？是因为benchmark本身没有active risk？
NO.PZ2015121810000013 问题如下 Whiof the following pairs of weights wouluseto achieve the highest Sharpe ratio anoptimamount of active risk through combining the Ingo Funanbenchmark portfolio, respectively? A.1.014 on Ingo an–0.014 on the benchmark B.1.450 on Ingo an–0.450 on the benchmark C.1.500 on Ingo an–0.500 on the benchmark A is correct.The optimamount of active risk is:σA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%The weight on the active portfolio (Ingo) woul8.11%/8.0% = 1.014 anthe weight on the benchmark portfolio woul1 – 1.014 = – 0.014. 考点Optimamount of active risk解析Optimamount of active riskσA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%Ingo Fun在的active risk是8%，为了使active risk达到最优水平，就将Ingo Funbenchmark再做组合，形成active risk最优的combinefun假设Ingo Fun权重为那么σA=cσAfun 8.11%=c8%, c=1.014\sigma_A=c\sigma_A^{fun,\;8.11\%=c8\%,\;c=1.014σA=cσAfun,8.11%=c8%,c=1.014因此，benchmark的权重为1-1.014=-0.014 如题
NO.PZ2015121810000013问题如下Whiof the following pairs of weights wouluseto achieve the highest Sharpe ratio anoptimamount of active risk through combining the Ingo Funanbenchmark portfolio, respectively?A.1.014 on Ingo an–0.014 on the benchmarkB.1.450 on Ingo an–0.450 on the benchmarkC.1.500 on Ingo an–0.500 on the benchmark A is correct.The optimamount of active risk is:σA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%The weight on the active portfolio (Ingo) woul8.11%/8.0% = 1.014 anthe weight on the benchmark portfolio woul1 – 1.014 = – 0.014. 考点Optimamount of active risk解析Optimamount of active riskσA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%Ingo Fun在的active risk是8%，为了使active risk达到最优水平，就将Ingo Funbenchmark再做组合，形成active risk最优的combinefun假设Ingo Fun权重为那么σA=cσAfun 8.11%=c8%, c=1.014\sigma_A=c\sigma_A^{fun,\;8.11\%=c8\%,\;c=1.014σA=cσAfun,8.11%=c8%,c=1.014因此，benchmark的权重为1-1.014=-0.014 大盘的SR大于单个基金的SR，要想组合SR最大就要尽可能多买大盘，ABC三个中A投资大盘的比例最高，所以选A，这样做行不行？
NO.PZ2015121810000013问题如下Whiof the following pairs of weights wouluseto achieve the highest Sharpe ratio anoptimamount of active risk through combining the Ingo Funanbenchmark portfolio, respectively?A.1.014 on Ingo an–0.014 on the benchmarkB.1.450 on Ingo an–0.450 on the benchmarkC.1.500 on Ingo an–0.500 on the benchmark A is correct.The optimamount of active risk is:σA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%The weight on the active portfolio (Ingo) woul8.11%/8.0% = 1.014 anthe weight on the benchmark portfolio woul1 – 1.014 = – 0.014. 考点Optimamount of active risk解析Optimamount of active riskσA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%Ingo Fun在的active risk是8%，为了使active risk达到最优水平，就将Ingo Funbenchmark再做组合，形成active risk最优的combinefun假设Ingo Fun权重为那么σA=cσAfun 8.11%=c8%, c=1.014\sigma_A=c\sigma_A^{fun,\;8.11\%=c8\%,\;c=1.014σA=cσAfun,8.11%=c8%,c=1.014因此，benchmark的权重为1-1.014=-0.014 这道题的思路是根据 sigema （portfolio+benchmark）=C*sigema portfolio这个式子算出C，然后再看是long short。有几个问题1、不太明白optimamount of active risk算出来的是sigema （portfolio+benchmark），还是sigema portfolio ？2、请问讲义244页的optimamount of active risk=12%，是sigema （portfolio+benchmark），还是sigema portfolio？是怎么看出来的？3、为什么算sigema （portfolio+benchmark）用的是 表格中return stanrviation，而算sigema portfolio用的却不是return stanrviation，而是active risk4、可以用讲义243页关于“sigema P 平方”的那个公式来算sigema portfolio吗？有点晕，求老师耐心解答，谢谢！
NO.PZ2015121810000013 问题如下 Whiof the following pairs of weights wouluseto achieve the highest Sharpe ratio anoptimamount of active risk through combining the Ingo Funanbenchmark portfolio, respectively? A.1.014 on Ingo an–0.014 on the benchmark B.1.450 on Ingo an–0.450 on the benchmark C.1.500 on Ingo an–0.500 on the benchmark A is correct.The optimamount of active risk is:σA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%The weight on the active portfolio (Ingo) woul8.11%/8.0% = 1.014 anthe weight on the benchmark portfolio woul1 – 1.014 = – 0.014. 考点Optimamount of active risk解析Optimamount of active riskσA=IRSRBσB=0.150.333×18%=8.11%\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%σA=SRBIRσB=0.3330.15×18%=8.11%Ingo Fun在的active risk是8%，为了使active risk达到最优水平，就将Ingo Funbenchmark再做组合，形成active risk最优的combinefun假设Ingo Fun权重为那么σA=cσAfun 8.11%=c8%, c=1.014\sigma_A=c\sigma_A^{fun,\;8.11\%=c8\%,\;c=1.014σA=cσAfun,8.11%=c8%,c=1.014因此，benchmark的权重为1-1.014=-0.014 请问求出optimactive risk 8.122% 以后为什么不用它除 portfolio 的active return viation 而是除portfolio的 active risk？风险组合的active return 的标准差和 aktive risk 有什么区别？
此题为什么不能通过最大的sharp ratio求解权重的，最大的sharp ratio是0.365。rf=0.03，这样算出来的权重为啥和答案不一致了？『0.105x+（1-x ）0.09-0.03 』/0.25x+(1-x)0.18=0.365这样算出来的权重x为啥不对？
