岳同学2020-08-31 10:41:03

Asset Allocation 想請問在實際上考試這樣寫可以嗎? 2018 Q9 A. 1. Sazri should recommend portfolio B over portfolio A 2. The expected utility of portfolio B is (3.5%) higher than the expected utility of portfolio A (3.1%). B 1. Sarzi should recommend allocation 2 2. The amount of liability accounts for 80% of the plan. Allocation 2 has 80% of indexed-linked government bonds, which matches the nature of the liability. C 1. Goal 1 should choose module B YTM = 5.0%, PMT = 0, N = 10, FV = $7.5mn; PV = 4,604,349 2. Goal 2 should choose module C YTM = 6.9%, PMT = 0, N = 25, FV = $15mn; PV = 2,829,102 3. Calculating Weighs Module A: 25.7% [(10,000,000 - 4,604,349 - 2,829,102)/ 10,000,000] Module B: 46.0% (4,604,349/10,000,000) Module C: 28.3% (2,829,102/10,000,000)