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婷 · 2023年01月30日

怎么判断?

* 问题详情,请 查看题干

NO.PZ202110280100000801

问题如下:

Cassandra Yang, age 59, is a manager at alarge US manufacturing firm. Yang is single, owns a home, is debt free, andsaves 20% of her pre-tax income in a company retirement plan and 15% of herafter-tax income in a short-term money market account. Her accounts are self-directed; Yang makesall related decisions independently.

While Yang hates to suffer investmentlosses, she now seeks higher returns on 80% of the funds in her money marketaccount. To help achieve her goal of retiring within three years, she isconsidering the actively managed investment funds listed in Exhibit 1.


Yang is also considering Aspen Investments(Aspen) for a portion of her money market funds. Aspen’s investment philosophystates: “We pursue a passive investment strategy, which seeks to identify andexploit structural inefficiencies through identifying mispricing created byloss aversion. Our strategy and philosophy have evolved over time in responseto fund and market performance.”


Select the best fund for Yang, using only the information provided.Justify your selection.

解释:

请问类似题目怎么判断答案?

1 个答案

吴昊_品职助教 · 2023年01月30日

嗨,爱思考的PZer你好:


现在表格中给到的维度是UC、DC、max drawdown、Drawdown duration等,要从这些维度出发去思考。

三年之内,短时间之内不想亏太多钱。就只和drawdown duration以及drawdown有关。因此只需要看表格后两列。选gamma最优。

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