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dada · 2022年03月27日

绿色部分

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000302

问题如下：

A broker proposes to Young three portfolios, shown in Exhibit 1. The broker also provides Young with asset class estimated returns and portfolio standard deviations in Exhibit 2 and Exhibit 3, respectively. The broker notes that there is a $500,000 minimum investment requirement for alternative assets. Finally, because the funds in the money market account are readily investible, the broker suggests using that account only for this initial investment round.


Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. Young’s capital gains and overall tax rate is 25%.

Determine which proposed portfolio most closely meets Young’s desired objectives. (Circle one.) Justify your response.


解释：



绿色部分什么意思，对于选择portfolio有影响吗



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1 个答案

郭静_品职助教 · 2022年03月28日

嗨，从没放弃的小努力你好：


有影响。以前我们常用风险和收益的综合指标，risk-adjusted return，如夏普比率最高来选择最佳组合，就只有一个标准。但这个题目是将收益和风险分开组合，第一个标准是收益要满足最低6%，计算后发现三个组合都满足；第二个标准是风险尽可能低，即要选择标准差或者方差最低的组合。

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