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周教授CFA金融课程:2021年CFA一二三级系列课程
Constrained optimization usually involves an additional constraint that:
A)
asset class weights add up to 1.
B)
all asset class weights are non-negative.
C)
all asset class weights are positive.



The weight of all asset classes adding up to one is part of un-constrained optimization. Constrained optimization has an additional constraint that the weights of all the asset classes should be non-negative.

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Reid Williams is responsible for training new analysts and portfolio managers for Grames Investment Advisors. Since Grames specializes in institutional clients, Williams wants to make sure that his new trainees know the needs of various institutional investors. Reid gives an assignment to all of his trainees to identify general differences in asset allocations for different types of institutional investors. One of Williams’ trainees, Phil Nagy, turns in his assignment with the following statements.
Statement 1:   A bank is likely to hold more bonds than an insurance company’s surplus portfolio.
Statement 2:   An endowment is likely to hold more equities than the portfolio that funds an insurance company’s fixed annuities.
Statement 3:   An endowment is more likely to hold more emerging market equities than an insurance company’s surplus portfolio.
Statement 4:   A private foundation is likely to have higher cash needs than a pension fund with a low ratio of retired to active lives.

When grading the papers, Williams gives his trainees 25 points for each correct statement. Given the grading criteria, Nagy’s grade on the paper is most likely:
A)
50%.
B)
75%.
C)
100%.



Three of Nagy’s four statements were correct, for a score of 75%. Statement 1 is correct – a bank’s portfolio is concerned with funding liabilities, and therefore requires more fixed income instruments, while an insurance company’s surplus portfolio is focused on growth. Statement 2 is also correct – the portfolio that funds an insurance company’s fixed annuities is likely to rely more on fixed income securities, while the endowment has more of a total return focus. Statement 3 is incorrect – an insurance company’s surplus portfolio is very aggressive and should therefore have more emerging market equities than an endowment that likely spends a portion of its portfolio each year. Statement 4 is correct – the private foundation has an annual spending requirement and therefore is likely to have higher liquidity needs than a pension fund with a small number of retired employees relative to working employees.

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Lynette Kelly is a principal with Beta Asset Advisors. Traditionally, the firm has always invested with an extremely long time horizon; however, Kelly’s outlook is for generally flat returns for the market over the next 5 to 7 years. In an effort to generate stronger returns for clients, Kelly believes the firm needs to make tactical allocation adjustments to client portfolios in order to achieve higher returns. Kelly is not very familiar with tactical asset allocation, so she asks Jacob Cannon, an analyst with the firm to prepare a report on tactical asset allocation. Cannon’s report contains the following points:
Point 1:The most common way to implement tactical asset allocation is through a derivative overlay.
Point 2:   Tactical asset allocation is only performed at the asset class level.
Point 3:   Tactical asset allocation can only be performed at regular intervals (i.e., monthly or quarterly).
Point 4:   In order to effectively implement the tactical asset allocation changes, our firm should hire additional personnel so that there will be internal experts on staff.

After reading Cannon’s report, Kelly should agree with:
A)
Point 1 only.
B)
Points 1 and 4 only.
C)
all of the points in the report.



Point 1 is correct. Tactical asset allocation can be accomplished through trading assets or through a derivative overlay, but as a result of cost savings and saving time, a derivative overlay tends to be a more common approach. The other three points are incorrect. Tactical asset allocation can be performed at the asset class, sector, industry, or in some cases, asset level. Also, tactical asset allocation can be performed at regular intervals (part of a regular program) or sporadically as market conditions warrant. Because of the flexibility of tactical asset allocation, it could be performed by internal personnel or by outside firms that specialize in tactical allocation.

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