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Viceroy

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tT
发表于 2011-7-11 19:22 | 只看该作者

Asset Allocation, example 14

allocation, efficient, somebody, example
Can somebody help me how to read the chart on page 285? How do I see that the asset allocation is amost but not exactley surplus efficent???
how do i see the surplus efficient frontier and what does the x-axis mean? isnt that the risk? thanks for your help!!
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bpdulog

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发表于 2011-7-11 19:22 | 只看该作者
Say you accept risk = 10% std. dev, then draw vertical line starting at 10 on x axis. That gives allocation as 10% EAFE and 90% US LT Govt based on the hatch marks

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canadiananalyst

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3#
发表于 2011-7-11 19:22 | 只看该作者
1, Exhibit 31 tells you that 60/40 is not on SEF(surplus EF).
2, Exhibit 32 shows you the weights, which can't be shown in Exhibit 31.
3, The x-axis in Exhibit 32 is 0-100, which is rescaled from 0-23% or so (standard deviation) in Exhibit 31.


Basically, it's saying that T-Bill has no place on the efficient frontier.

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