岳同學(xué)
2020-09-01 10:142014 Q8 請(qǐng)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.
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(gè)回答
Johnny助教
2020-09-07 18:03
該回答已被題主采納
同學(xué)你好
A.第二個(gè)bullet point最好先列出公式再帶數(shù)字計(jì)算。
B.也是先列出公式再帶數(shù)字計(jì)算，別的都沒問題
C和D在最新的casebook中已經(jīng)刪除了，所以同學(xué)你可以跳過這兩題了
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