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.

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.

put 的价格是在资产价格变高、还是变低的时候，put 的价格会更高？ or put option, the delta will underestimate the price effect of decrease in the underlying equity and will overestimate the price effect of increase in the underlying equity. this is due to the convex relationship between put option prices and the price of the underlying equity .this can be addressed by adjusting the put option price for the effect of gamma,which is analogous to the convexity adjustment of a bonds’ price. 这段话应该怎么理解？

如果是一个股票过去涨的都很好，最近一个季度开始下跌，基于偏差应该买还是卖? 老师，基于代表性偏差，为什么会sell呢？

reading35 书本后面的课后题，第2题的答案解析提及固收经理对应的有benchMark，但是case中没有找到相关内容，可否答疑一下呢？

老师，可以再解释一下closet indexing 吗

老师你好，百题衍生品case 11， 第四题，B选项，老师说futures less liquid是错的，我们讲课的时候讲的很清楚，对于外汇，forwards，option和swap很活跃，futures用的很少。所以B选项这里说futures 是less liquid没有错啊

我的问题是，在2018年的考试中，对于donation的计算为什么不这样判断，在T0时间的TIA为：salary-tax-expense＋investment portfolio-donation=TIA,即在本题中为250000-250000*0.25-280000＋4000000-donation=3464545，那么最后donation计算结果是442955。如何判断出直接使用investment portfolio-TIA=535455的？

R6书后题第43题, 题里的C选项是错的, 但是把主语换成examination的话, C选项也依然是错的吧?

老师 能否讲解一下例题中关于intra market的carry trade如果yield curve move to reflect forward rate就break even这个点. 题目中NZD4.5年的forward rate会比平均算的2.84多19bps是怎么计算？