[求助]CFA 二级 Portfolio provided

dvilayphet

Reading 55, 第7题: " Based on the information provided in Exhibit 1, which of Koshy's results from applying the TB model is most accurate? 请分别解释题目的选项。谢谢！

apf陈老师

Result 1: active portfolio的beta和the optimal weight in the optimal overall risky portfolio之间存在着反向关系； Result 2: optimal overall risky portfolio的Sharpe Ratio比market (passive) portfolio的Sharpe Ratio要大； Result 3: optimal overall risky portfolio的expected return更接近于active portfolio return而不是the market (passive) portfolio return.


当active portfolio的beta小于1时，就说明该资产受市场组合的影响比较小，所以他分散风险的效果就比较好，所以就不需要更多的资产加入进行diversification。当beta大于1时，就说明该资产受市场组合的影响比较大，所以他分散风险的效果相对就不是太好。