CFA论坛 - Powered by Discuz! Board

标题: Reading 26: Asset Allocation LOS m～ Q11 [打印本页]

作者: youzizhang 时间: 2009-3-5 15:48 标题: [2009] Session 8 - Reading 26: Asset Allocation LOS m～ Q11

Q11. Based on the following information, which asset class is the most significant in an efficient portfolio with an expected return of 12.50%?
The following are the long-term capital market expectations:

	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

The details of each corner portfolio are given below. The risk free rate is assumed to be equal to the T-bill rate of 3.00%. Using margin is not allowed.

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%

A) Alternative investments with a weight of 20.17%.

B) International equity with a weight of 48.70%.

C) International equity with a weight of 45.51%.

[此贴子已经被作者于2009-3-5 15:53:04编辑过]

作者: sweetgao 时间: 2009-4-13 22:00

k

作者: pundit 时间: 2009-4-16 15:31

k

作者: pundit 时间: 2009-4-21 20:16

A

作者: zhouyp1982 时间: 2009-4-21 21:14

 r

作者: miguelliu 时间: 2009-5-1 06:22

a

作者: sszzyyll 时间: 2009-5-27 11:51

 d

作者: dandinghe4748 时间: 2009-11-16 15:04

OK

作者: jrxx99 时间: 2009-12-29 10:26

x谢谢

作者: 1212jo 时间: 2010-1-3 21:52

v

作者: szg333 时间: 2010-1-29 12:28

s

作者: leeyaoxee 时间: 2010-4-18 06:47 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: maxsimax 时间: 2011-4-25 14:49

tq

作者: suodi 时间: 2011-5-16 16:17

[em50]

作者: deqiang 时间: 2011-5-18 22:35

thanks.

作者: deqiang 时间: 2011-5-20 22:07

thanks.

作者: rawrdinosaur 时间: 2011-5-29 11:45

sdf

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)