2014 Q8 請問實際考試這樣寫可以嗎? A 1. The board should choose portfolio jade. 2. Portfolio jade has a higher expected utility (3.5%) than portfolio Ruby does (2.04%). Jade: 6.5% - 10%^2*6*0.005 = 3.5% Ruby: 7.5% - 13.5%^2*6*0.005 = 2.04% B 1. The board should choose portfolio Ruby based on Roy’s safety-first criteria. 2. The ratio of Ruby is higher (0.1852) than the ratio of Jade (0.15). Jade: (6.5% - 5%)/10.0% = 0.15 Ruby: (7.5% - 5%)/ 13.5% = 0.1852 C 1. The non-domestic developed market equity should be added into the current portfolio to improve a mean-variance; 2. The sharp ratio of new portfolio > the sharp ratio of the current portfolio x correlation 0.4286 > 0.3132 (0.4473 x 0.7) D The correlation will increase during the period of financial stress.
2015 Q9 請問正式考試這樣寫可以嗎? A 1. The fund wants to construct a portfolio biased toward small-cap stocks. By choosing an equal-weighted index as a benchmark, which weights amount of positions in the index equally, the fund wont overweight return attributed to large caps. 2. The fund plans to set the position size between 3% to 5% for each position. With a small range of deviation in position size, using an equal-weighted index is suitable. B Objective 1 Hedged return with forward contact: 1.2065/1.1930 = 1.0113 or 1.13%; Unhedged return: 1.2045/1.1930 = 1.0096 or 0.96% 1.0113/1.0096 -1 = 0.17% or 17bps. Objective 1 cant be achieved by buying a 1-yr forward contract. Objective 2 Unhedged volatility: Variance: 5%^2 ＋ 15%^2 -2*15%*5%*-0.07 = 0.0239 Volatility: 0.0239^0.5 = 15.47% Hedged volatility: 15% 15.47% - 15% = 0.47% Objective 2 cant be achieved by buying forward contract. C 1. Aron should execute trade 2; 1.60 * 1.05 = 1.68 Aron should buy a call at 1.6 strike and sell a call at
Asset Allocation 2016 Q4 請問考試中這樣寫可以嗎? A 1. We should choose two corner portfolios with the highest sharp ratios, which can synthesize to the required rate of return; they are portfolio 3 and 4. 2. 8.6x – 7.65(1-x) = 8; x = 36.8%; The advisor should allocate 36.8% of capital to portfolio 3 and 63.25% of capital to portfolio 4. B 1. The advisor should suggest the investor to leverage a portfolio with the highest sharp ratio, which is portfolio 4, to achieve the required rate of returns. 2. 7.65x ＋ 0.5(1-x) = 8; x = 1.049. The investor should leverage 1.049 times of portfolio 4. C 1. Unleveraged SAA combines two risky assets together which have a positive correlation and will increase expected volatility. However, leveraged SAA combines a risky asset with a risk-free asset, offering lower expected volatility.
Asset Allocation 請問實際上考試這樣寫可以嗎? 2017 Q8 A AO 1. The foundation has no liability-like payments, but only minimum spending and an AO approach can minimize the likelihood of decline; ALM 1. There is a fixed amount of EUR 5mn to distribute yearly, which can bee seen as an obligation to pay. B 1. Assets in the same asset class should be homogenous. Private equity and real estate are not the same; 2. Asset classes should be mutually exclusive. Broad EUR fixed income is not different from EUR-denominated government bonds. C 1. Emerging market equities should be added into the current portfolio; 2. Sharpe ratio of new asset class > Sharpe ratio of current portfolio × correlation 0.481 > 0.538 × 0.79 => 0.481 > 0.425 D 1. Because the investment horizon of the foundation is a perpetuity, Monte Carlo is suitable for investment over a multi-period; 2. Monto Carlo can compute a path-dependent terminal value since the foundation is rebalanced every six months.
Asset Allocation 想請問在實際上考試這樣寫可以嗎? 2018 Q9 A. 1. Sazri should recommend portfolio B over portfolio A 2. The expected utility of portfolio B is (3.5%) higher than the expected utility of portfolio A (3.1%). B 1. Sarzi should recommend allocation 2 2. The amount of liability accounts for 80% of the plan. Allocation 2 has 80% of indexed-linked government bonds, which matches the nature of the liability. C 1. Goal 1 should choose module B YTM = 5.0%, PMT = 0, N = 10, FV = $7.5mn; PV = 4,604,349 2. Goal 2 should choose module C YTM = 6.9%, PMT = 0, N = 25, FV = $15mn; PV = 2,829,102 3. Calculating Weighs Module A: 25.7% [(10,000,000 - 4,604,349 - 2,829,102)/ 10,000,000] Module B: 46.0% (4,604,349/10,000,000) Module C: 28.3% (2,829,102/10,000,000)
請問 reading 13 practice problem Q15 假設(shè)在實際上考試中，我應(yīng)該寫下哪些點可以拿到分數(shù)呢? Q1. Compared with an MVO approach, weights of global market portfolio are input in a reverse optimization approach. Compared with an MVO approach, allocation of a reverse optimization approach will be more diversified. Q2. Return on Global Bonds = 2.0% ＋ (0.6) (5.5%) = 5.3% Return on US Equities = 2.0% ＋ (1.4) (5.5%) = 9.7% 如果這樣寫可以嗎?
請問 asset allocation 的 practice question Q38 中 為什麼答案不是MVO？ 我記得歷年考題中有一題說，如果現(xiàn)在是underfund 的狀態(tài)，要使用AO management，因為ALM 中 asset的return = liabilitiy 的return，但是在AO 的狀況下是可以提高asset required rate of return 並解決underfund的狀態(tài)．
老師你好，在原版書課后題asset allocation的第18題，對于第二個goal，每年開支100,000，以及第二年開始有3%的inflation，為啥在課后題解答里，這個inflation3%要按照復(fù)利的思維去計算，而不是單利的思維呢？
這里的第二題的statement3 請問TAA是不可以超過upper 和lower limit的嗎？
請問 reading 13 Practice Problem Q2 Theoretically, higher-risk assets would warrant a narrow corridor because high-risk assets are more likely to stray from the desired strategic asset allocation. However, narrow corridors will likely result in more frequent rebalancing and increased transaction costs, so in practice corridor width is often specified to be proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs. 請問課本中是寫The higher the volatility, the narrower the optimal corridor. 哪個是正確的？
老師，麻煩問下，money market instruments 有沒有overlap nominal US government bonds呢？
請問reading 13 中 practice question 18 的 goal 2 PV值，如何用計算機算呢?
Equity 和derivative 之間不滿足資產(chǎn)分類，為什么是不滿足diversification 相關(guān)性高，我認為也不滿足exclusive 兩者之間也不互斥
這個減號的后面結(jié)果是0.0576%，不是5.76%呀
請問“Provided each sub-portfolio lies along the same efficient frontier, the sum of the sub-portfolio will also be efficient” 中，CML與EF只有一個切點，而各子組合經(jīng)過MVO后均是各自Utility Curve與CML這條直線的切點，即數(shù)個optimal portfolios數(shù)個切點。 這些切點只可能在CML上, 為何這里寫lies along the same EF呢？ 是否這里的efficient就是指optimal, 而lies along應(yīng)理解為“基于”而不是“沿著”或者“在EF線上”
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