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标题: Reading 26: Asset Allocation LOS m～ Q8 [打印本页]

作者: youzizhang 时间: 2009-3-5 15:30 标题: [2009] Session 8 - Reading 26: Asset Allocation LOS m～ Q8

Q8. Based on the following information, compute the weight of US bonds in an efficient portfolio with an expected return of 13.50%?
The following are the long-term capital market expectations:

Asset Class

Expected
Return

Exp. Std. Dev.

Correlations

1

2

3

4

5

1

US Equity

12.00%

16.00%

1.00

2

US Bonds

8.25%

6.50%

0.32

1.00

3

Intl Equities

14.00%

18.00%

0.46

0.22

1.00

4

Intl Bonds

9.25%

12.25%

0.23

0.56

0.32

1.00

5

Alt Inv

11.50%

21.00%

0.25

0.11

0.08

0.06

1.00

The details of each corner portfolio are given below.

Corner
Portfolio

Expected
Return

Exp. Std.
Dev.

Sharpe
Ratio

Asset Class Weights

1

2

3

4

5

1

14.00%

18.00%

0.639

0.00%

0.00%

100.00%

0.00%

0.00%

2

13.66%

16.03%

0.696

0.00%

0.00%

86.36%

0.00%

14.00%

3

13.02%

13.58%

0.775

21.69%

0.00%

56.56%

0.00%

21.76%

4

12.79%

13.00%

0.792

21.48%

0.00%

52.01%

5.24%

21.27%

5

10.54%

8.14%

0.988

9.40%

51.30%

26.55%

0.00%

12.76%

6

8.70%

6.32%

0.981

0.00%

89.65%

4.67%

0.00%

5.68%

A) 3.75%.

B) 6.25%.

C) 0.00%.

[此贴子已经被作者于2009-3-5 15:34:46编辑过]

作者: sweetgao 时间: 2009-4-13 22:01

k

作者: pundit 时间: 2009-4-16 15:29

k

作者: pundit 时间: 2009-4-21 20:18

A

作者: zhouyp1982 时间: 2009-4-21 21:00

 c

作者: miguelliu 时间: 2009-5-1 06:23

a

作者: gracecfa 时间: 2009-5-19 14:19

v

作者: delta_leaf 时间: 2009-5-24 13:10 标题: 回复：（youzizhang）[2009] Session 8 - Reading 26:...

 gd

作者: dandinghe4748 时间: 2009-11-16 15:08

OK

作者: jrxx99 时间: 2009-12-29 10:25

x谢谢

作者: 1212jo 时间: 2010-1-3 21:52

v

作者: szg333 时间: 2010-1-29 12:11

g

作者: leeyaoxee 时间: 2010-4-18 06:30 标题: 回复：（youzizhang）[2009] Session 8 - Reading 26:...

Thanks.

作者: 思霖 时间: 2010-9-27 12:51

Thanks!

作者: saintrich 时间: 2011-2-16 23:57

 thx

作者: nijiu 时间: 2011-4-12 13:07

c

作者: maxsimax 时间: 2011-4-26 17:17

tq

作者: rawrdinosaur 时间: 2011-4-27 18:49

a

作者: suodi 时间: 2011-5-16 16:16

[em50]

作者: deqiang 时间: 2011-5-18 22:34

thanks.

作者: deqiang 时间: 2011-5-20 22:07

thanks.

作者: rawrdinosaur 时间: 2011-5-29 11:37

ty

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	Asset Class	Expected Return	Exp. Std. Dev.	Correlations
	Asset Class	Expected Return	Exp. Std. Dev.	1	2	3	4	5
1	US Equity	12.00%	16.00%	1.00
2	US Bonds	8.25%	6.50%	0.32	1.00
3	Intl Equities	14.00%	18.00%	0.46	0.22	1.00
4	Intl Bonds	9.25%	12.25%	0.23	0.56	0.32	1.00
5	Alt Inv	11.50%	21.00%	0.25	0.11	0.08	0.06	1.00

Corner Portfolio	Expected Return	Exp. Std. Dev.	Sharpe Ratio	Asset Class Weights
Corner Portfolio	Expected Return	Exp. Std. Dev.	Sharpe Ratio	1	2	3	4	5
1	14.00%	18.00%	0.639	0.00%	0.00%	100.00%	0.00%	0.00%
2	13.66%	16.03%	0.696	0.00%	0.00%	86.36%	0.00%	14.00%
3	13.02%	13.58%	0.775	21.69%	0.00%	56.56%	0.00%	21.76%
4	12.79%	13.00%	0.792	21.48%	0.00%	52.01%	5.24%	21.27%
5	10.54%	8.14%	0.988	9.40%	51.30%	26.55%	0.00%	12.76%
6	8.70%	6.32%	0.981	0.00%	89.65%	4.67%	0.00%	5.68%