岳同学2020-08-31 11:54:59

Asset Allocation 2016 Q4 請問考試中這樣寫可以嗎? A 1. We should choose two corner portfolios with the highest sharp ratios, which can synthesize to the required rate of return; they are portfolio 3 and 4. 2. 8.6x – 7.65(1-x) = 8; x = 36.8%; The advisor should allocate 36.8% of capital to portfolio 3 and 63.25% of capital to portfolio 4. B 1. The advisor should suggest the investor to leverage a portfolio with the highest sharp ratio, which is portfolio 4, to achieve the required rate of returns. 2. 7.65x ＋ 0.5(1-x) = 8; x = 1.049. The investor should leverage 1.049 times of portfolio 4. C 1. Unleveraged SAA combines two risky assets together which have a positive correlation and will increase expected volatility. However, leveraged SAA combines a risky asset with a risk-free asset, offering lower expected volatility.