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WOO2019 · 2022年11月05日

risk profile是机构IPS里的考点？你们搞错了分类了吧，视频里也没讲？什么鬼

  1. CFA III
  2. 机构IPS

* 问题详情，请 查看题干

NO.PZ202205190400000302

问题如下：

Q. Discuss two reasons why the increased risk profile is appropriate. Justify your response.

选项：

解释：

Solution

Reasons to justify the increased risk profile include the following:

  1. The board members’ lower return expectations for public equity and fixed-income asset classes imply a higher level of risk must be taken to achieve the same level of returns.

  2. For a long-horizon institutional investor like Pell Tech, the ability to tolerate illiquidity creates an opportunity to improve portfolio diversification and expected returns as well as access a broader set of investment strategies. In mean–variance optimization models, the inclusion of illiquid assets in the eligible investment universe may shift the efficient frontier for their portfolio upwards, theoretically resulting in greater efficiency (i.e., higher expected returns will be gained across all given levels of risk).

  3. The portfolio risk profile for the endowment is currently more conservative in comparison to those of peer universities.

  4. Smith’s Monte Carlo simulations suggest that the proposed asset allocation has a higher probability of achieving the return target while better preserving the purchasing power of the endowment.

risk profile是机构IPS里的考点？你们搞错了分类了吧，视频里也没讲？什么鬼

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1 个答案

lynn_品职助教 · 2022年11月08日

嗨，爱思考的PZer你好：


是的，整个Case Study中出得课后题、例题都非常怪，不仅有其他部分的知识点，还有已经不在当前大纲中的知识点，但目前协会没有进行更新或勘误。

这道题也是Reading 28 ■ Case Study in Portfolio Management: Institutional 的课后练习题，没有印象是因为只在这个案例中提到了，case study中这道题只是想讲一讲risk profile for the endowment的相关知识点，看看答案就可以。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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