2011 Q5 請問實(shí)際考試這樣寫可以嗎? A Resample 1. A resample approach is not sensitive to small changes in inputs; 2. A resample approach is relatively diversified in asset allocation. BL i. A BL approach can combine the investor’s future view about markets. MCS i. Monte Carlo can determine a path-dependent terminal value; ii. Monte Carlo is a multi-period model, which is allowed the investor to see how the effect of the changes in tax plays out. B 1. Finnegan has debt-like liabilities to pay; 2. Finnegan currently is unemployed and has a lower risk tolerance; 3. Finnegan’s liability is interest-rate sensitive. In order to match the nature of the liability and assets, the investor should choose an ALM approach. C 1. With a higher allocation in equities, the volatility of the portfolio is higher and not suitable for Finnegan who currently has a lower risk tolerance; 2. She used to work as an equity analyst, in which the incomes generated in the position are positively correlated with equity markets.
真題的2011年的第C問，為什么要降低equity 的權(quán)重，答案中的第一點(diǎn)不明白，為什么有很多的human capital 就應(yīng)該降低equity 的權(quán)重？
真題中的2016年的題目的第c問，為什么帶杠桿預(yù)期的波動(dòng)率更低，一般不是有杠桿，風(fēng)險(xiǎn)更大，波動(dòng)更大嗎？
2014 Q8 請問實(shí)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(shí)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(shí)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(shí)際上考試中，我應(yīng)該寫下哪些點(diǎn)可以拿到分?jǐn)?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?yàn)锳LM 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(gè)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(gè)inflation3%要按照復(fù)利的思維去計(jì)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(gè)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(jì)算機(jī)算呢?
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