tina
2023-12-13 16:40老師，像這道題，考試的時候怎么回答比較好？這么多。。。?？梢越o個范例么
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
Essie助教
2023-12-14 10:21
該回答已被題主采納
你好，
由于第一問只問了每類資產(chǎn)的權(quán)重是多少，那么我們只要回答權(quán)重的問題即可。反向優(yōu)化中是基于global mkt的權(quán)重來計算的，所以只需要回答答案中的第一句“The asset allocation weights for the reverse optimization method are inputs into the optimization and are determined by the market capitalization weights of the global market portfolio.”
第二問關(guān)于US equities和global bonds的expected return，那么只需要回答利用CAPM模型計算預(yù)期回報率，然后進(jìn)行帶入計算即可。
The reverse-optimized returns are calculated using a CAPM approach. The return on an asset class using the CAPM approach is calculated as follows:
Return on Asset Class = Risk-Free Rate + (Beta) (Market Risk Premium)
Return on Global Bonds = 2.0% + (0.6)*(5.5%) = 5.3%
Return on US Equities = 2.0% + (1.4)*(5.5%) = 9.7%
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追問
老師，計算是不是不用過程直接寫答案？
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