岳同学2020-09-01 10:14:32

2014 Q8 請問實際考試這樣寫可以嗎? A 1. The board should choose portfolio jade. 2. Portfolio jade has a higher expected utility (3.5%) than portfolio Ruby does (2.04%). Jade: 6.5% - 10%^2*6*0.005 = 3.5% Ruby: 7.5% - 13.5%^2*6*0.005 = 2.04% B 1. The board should choose portfolio Ruby based on Roy’s safety-first criteria. 2. The ratio of Ruby is higher (0.1852) than the ratio of Jade (0.15). Jade: (6.5% - 5%)/10.0% = 0.15 Ruby: (7.5% - 5%)/ 13.5% = 0.1852 C 1. The non-domestic developed market equity should be added into the current portfolio to improve a mean-variance; 2. The sharp ratio of new portfolio > the sharp ratio of the current portfolio x correlation 0.4286 > 0.3132 (0.4473 x 0.7) D The correlation will increase during the period of financial stress.