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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？
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