标题: Corner Portfolio Question [打印本页]

---

作者: Carson    时间: 2011-7-11 19:29     标题: Corner Portfolio Question

Hypothetical question....looking for someone who can provide the answer. (Paraguay I am looking at you!)

So you have a required return of 9% and you have three corner portfolios:

Portfolio 1: Return = 8%, Sharpe = 0.7
Portfolio 2: Return = 10%, Sharpe = 0.8
Portfolio 3: Return = 12% , Sharpe = 1.1

According to Schweser the answer would be to take the corner portfolios 1 & 2 to solve for the answer which would be a 50% weight in each.

Now my answer is, why are you not taking portfolio 3 & 1 since portfolio 3 has a much better risk adjusted return? The weight being 75% from port 1 and 25% from port 3.

Thanks in advance guys!

---

作者: mar350    时间: 2011-7-11 19:29

corner portfolios are min var portfolios in which an asset class weight changes from zero to positive along the min var frontier.

i dont know the textbook answer to your question but I dont think you would choose two portfolios that are not adjacent to each other. you increase your return/risk objectives as you move along the frontier

---

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)

Powered by Discuz! 7.2