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标题: Reading 26: Asset Allocation LOS m～ Q4-7 [打印本页]

作者: youzizhang 时间: 2009-3-5 15:27 标题: [2009] Session 8 - Reading 26: Asset Allocation LOS m～ Q4-7

Q4. If DWC’s required return were 7.7%, the weight of the portfolio to be placed in U.S. Large Capitalization Equity is closest to:

A) 4.3%.

B) 5.4%.

C) 10.4%.

Q5. Consider a Capital Allocation Line (CAL) with a risk-free asset with a return of 4%. What is the expected return of the CAL portfolio that has the same risk as Corner Portfolio A?

A) 6.83%.

B) 6.44%.

C) 5.89%.

Q6. In the case of no short sales constrained optimization, the minimum variance frontier has corner portfolios formed when the weight of an asset class changes from:

A) zero to positive.

B) positive to zero.

C) zero to positive or positive to zero.

Q7. Based on the following information, compute the weight of international bonds and international equities respectively 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%. There is also a restriction on short sales.

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) 3.75%, 52.00%.

B) 4.56%, 48.70%.

C) 6.12%, 46.29%.

作者: jennyzeng 时间: 2009-3-24 15:30

thanks

作者: sweetgao 时间: 2009-4-9 19:40

作者: zhouyp1982 时间: 2009-4-28 07:49

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作者: miguelliu 时间: 2009-5-1 06:01

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作者: mashanghao 时间: 2009-5-12 13:32 标题: 回复：（youzizhang）[2009] Session 8 - Reading 26:...

ok

作者: rc2008 时间: 2009-5-13 18:35

k

作者: gracecfa 时间: 2009-5-19 14:04

v

作者: sszzyyll 时间: 2009-5-27 13:41

 d

作者: ibmtracy 时间: 2009-5-27 15:33 标题: d

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作者: dandinghe4748 时间: 2009-11-16 15:10

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 11:51

 c

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 23:36

thx

作者: maxsimax 时间: 2011-4-26 15:30

tq

作者: suodi 时间: 2011-5-16 16:16

[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 11:29

ty

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