岳同学2020-08-31 11:33:14

Asset Allocation 請問實際上考試這樣寫可以嗎? 2017 Q8 A AO 1. The foundation has no liability-like payments, but only minimum spending and an AO approach can minimize the likelihood of decline; ALM 1. There is a fixed amount of EUR 5mn to distribute yearly, which can bee seen as an obligation to pay. B 1. Assets in the same asset class should be homogenous. Private equity and real estate are not the same; 2. Asset classes should be mutually exclusive. Broad EUR fixed income is not different from EUR-denominated government bonds. C 1. Emerging market equities should be added into the current portfolio; 2. Sharpe ratio of new asset class > Sharpe ratio of current portfolio × correlation 0.481 > 0.538 × 0.79 => 0.481 > 0.425 D 1. Because the investment horizon of the foundation is a perpetuity, Monte Carlo is suitable for investment over a multi-period; 2. Monto Carlo can compute a path-dependent terminal value since the foundation is rebalanced every six months.