1.
You are given the above information about a portfolio and are asked to make a recommendation about how to reallocate the portfolio to improve the risk/return tradeoff.


Which of the following the recommendations will improve the risk/return tradeoff of the portfolio?



A.
Increase the allocations to assets 1 and 3 and decrease the allocations to assets 2 and 4.

B.
Increase the allocations to assets 1 and 2 and decrease the allocations to assets 3 and 4.

C.
Increase the allocations to assets 2 and 3 and decrease the allocations to assets 1 and 4.

D.
Increase the allocations to assets 1 and 4 and decrease the allocations to assets 2 and 3.


Answer: D
A. Incorrect. Asset 3 should be decreased since it has the lowest marginal return-to-marginal risk ratio.
B. Incorrect. Asset 4 should be increased since it has the highest marginal return-to-marginal risk ratio.
C. Incorrect. Asset 4 should be increased since it has the highest marginal return-to-marginal risk ratio.
D. Correct. A portfolio optimizing the risk-reward tradeoff has the property that the ratio of the marginal return to marginal risk of each asset is equal. Therefore, this option is the only recommendation that will move the ratios in the right direction.

解析中所说the only recommendation that will move the ratios in the right direction满足了the property that the ratio of the marginal return to marginal risk of each asset is equal.即增加marginal return-to-marginal risk ratio值较大的资产权重会减少该资产的marginal return-to-marginal risk ratio值，反之亦然，从而实现了 the ratio of the marginal return to marginal risk of each asset is equal。不明白这个过程是如何实现的？哪位大虾能解惑，参考什么教材呢？

相关词条：FRM, 考题, 请教



我也想创建词条赚积分
就是关于配比增大边际风险减少的推导过程
另外请教的是：是否这个过程实现了整个资产组合的the ratio of the marginal return to marginal risk 的最大化？

这个很简单，测算一下他们各自的夏普比率，1和4的数值比较高，所以选d了

楼上说的简洁明了是好办法！
可是我还是想弄明白，权重加大使得边际风险增加的推导过程，或者思路

三楼这里我说反了，“配比增大边际风险减少”改为边际风险增加