tt501916

回复 325# FiFi49


    i remember i choose real bond, because i remember their liability contains most "inflation linked" structure. I wrote the answer as "real rate bond is matching inflation linked liability, and term structure is required"

tt501916

回复 288# dmy949


    cash dividend is "recommended" to be accured, but not "required". only interest of fixed income needs accured.

greenturtle

回复 325# FiFi49


    我怎么觉得当下还没有人退休，所以最少的应该是norminal bond啊

tt501916

回复 323# dmy949


    yes. i remember the question required a very long calulation and you just need to calculate with no shortcut. need to calculate the combined portfolio sd and r first

greenturtle

回复 322# delryn


   这个解法貌似我在最后几天做题的时候碰到过，这样解是对的

FiFi49

那个个人Ips的Required rate 不用争了，不需要扣除club expense，因为已经包含在normal expense中了，哎，起码5分甚至6分的题目啊。奶奶cfa，这么高强度的考试还设置文字陷阱。


请教一个问题，看了一下前面的讨论，看到有同学说那个higheast weight 是nominal bond，最低是equity，为什么？有没有人说明一下又或者有持其他意见的同学？

tt501916

回复 271# CFANS



Anyway. my point is there must be someone who are happy with "unexpected inflation". Financial market is always a zero sum game.
If you lose because you fail to the protect (or "hedge" in your terms) for inflation, there must be someone in this world whose profit is positive.

you expect an "unexpected inflation" so you buy something with positive correlation, then you are just increasing your leverage but not hedge.
I have quoted so many examples, but you dare not to drill into the definition of "hedge".

In fact, the term "unexpected" has given you some hint.

dmy949

回复  etiennechi


   年收益除以250天把年度STD处以250的平方根，然后日平均收益减去2.33个日STD,然后还 ...
wangshuoyuan 发表于 2012-6-6 19:34

    I think this is quite a innovative way in calculating portfolio var. However, I'm thinking that you might have to weigh each individual var by taking the power of their respective weights, which is pretty much like the way calculating portfolio standard deviation.

delryn

回复 320# wangshuoyuan


    这个解法是从书上或者notes上哪里来的，肿么从来没有看到过哟

wangshuoyuan

回复 289# etiennechi


   年收益除以250天把年度STD处以250的平方根，然后日平均收益减去2.33个日STD,然后还要两部分VAR的平方和那个2 VAR1*VAR2*correlation