岳同学2020-09-01 11:23:54

2011 Q5 請問實際考試這樣寫可以嗎? A Resample 1. A resample approach is not sensitive to small changes in inputs; 2. A resample approach is relatively diversified in asset allocation. BL i. A BL approach can combine the investor’s future view about markets. MCS i. Monte Carlo can determine a path-dependent terminal value; ii. Monte Carlo is a multi-period model, which is allowed the investor to see how the effect of the changes in tax plays out. B 1. Finnegan has debt-like liabilities to pay; 2. Finnegan currently is unemployed and has a lower risk tolerance; 3. Finnegan’s liability is interest-rate sensitive. In order to match the nature of the liability and assets, the investor should choose an ALM approach. C 1. With a higher allocation in equities, the volatility of the portfolio is higher and not suitable for Finnegan who currently has a lower risk tolerance; 2. She used to work as an equity analyst, in which the incomes generated in the position are positively correlated with equity markets.