jinnix

Vol 2 p355 - One way to reduce wage earnings risk is to save more

在optional reading里面

上午那个什么earning risk之前没见过，只能猜了。
anyahsu 发表于 2012-6-3 21:25

jinnix

有没有高手能讲讲put option duration怎么算吗？

Decision risk is increased if 1. frequent small positive return but more likely to see large negative return than positive, 2. extreme returns

Treynor measures return per systematic risk, 如果 non-systematic risk 大，但是 systematic risk 小，Treynor 排序会比 Sharpe 高。

1.  有REIT A B C 的skewness和kurtosis
   1） 用什么 benchmark？
   2 ) 那个有decision ...
gxrong 发表于 2012-6-3 23:12 [/quote]

jinnix

嗯，就是说是个坑人的选项。。。

还有unsmoothed NCREIT, 这个实际存在么
gxrong 发表于 2012-6-4 05:31

jinnix

high volatility use implementation shortfall, 这是为什么呢？课本有没有提到？

先说几个100%确定的题，relative value 选b，反正不是1•1那个c，题目是问老爷子现在赠与与七年后赠与有何 ...
FiFi49 发表于 2012-6-5 00:31

jinnix

if you look at the question, it says for the retired portion and deferred portion, they are indexed to inflation

and if you sum up the % on the table, deferred and retired combine has the highest %, that is why I chose Real Rate Bond.

The smallest is the 5% real wage growth, that one I chose equity

楼上的表格和原题差不多,就是要把deferred和retired的%加起来

我也同意啊，可能我理解有问题噢。这个公司的利润很好，工资增加有一部分是因为实际利润的增加，通货膨胀 ...
rongsummer 发表于 2012-6-7 00:24

jinnix

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a paradox?
There is a question about choosing which benchmark duration can achieve the largest portfolio value.

int rates rise -> all bond value should go down
spreads narrow -> treasury bond value does not change, but bonds with default risk value should go up

2. Ruin probability. Can you show your detail calculation process?

The request is to maintain at least 90% of the portfolio value with X% of confidence.
If you look at the table given, the corresponding ruin probability is in the column that allows spending $3 per $100

so you multiply $3 * $350K / $100 = $105K

May anybody explain how to address the following questions:

1.    When interest rates rise but spre ...
future2012 发表于 2012-6-6 23:19

jinnix

有同学指出不同考卷有不同的ruin probability问题，所以我的回复只适用于某一份考卷。

This is for ruin probability
gcaxu 发表于 2012-6-7 01:40