岳同學(xué)
2020-08-31 11:33Asset 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.
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Johnny助教
2020-09-07 15:16
該回答已被題主采納
同學(xué)你好
A. AO. no liability-like payment這個說法有問題，因為第二個objective是每年至少要花費5million，這是個硬性的金額支出，因此是個liability了。而第一個objective是至少3%支出，你有100元就花費3元，你有10000元就花費300元，沒有強制性規(guī)定具體數(shù)目，所以不是liability-like。這道題是只挑有利于AO的說法，因此就是繞開第二個objective去說第一和第三個objective適用AO，比如第一個objective不是liability-like，第三個objective是unrelated to the liability，因此可以用AO，總之要繞開第二個objective。
ALM. 保險起見，同學(xué)你在后面再補一句：While in an AO approach，the liability is ignored。就是一踩一捧，說下為啥不能用AO
B.沒啥大問題，基本意思都表達到就差不多了。
C.本題已經(jīng)在casebook中被刪除了，所以可以跳過這道題
D.依舊一踩一捧，就是在兩個bullet point后面再說一下為啥MVO不行。第一個bullet point說下MVO是single-period，所以不適用。第二個bullet point再寫下MVO ignores the semiannual rebalancing 之類的話。
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