开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

开泰-王飞 · 2023年07月15日

关于答案A

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000105

问题如下：

The asset allocation approach most appropriate for client Kealoha is best described as:

选项：

A.

a surplus optimization approach.

B.

an integrated asset–liability approach.

C.

a hedging/return-seeking portfolios approach.

解释：

C is correct.

The hedging/return-seeking portfolios approach is best for this client. Beade should construct two portfolios, one that includes riskless bonds that will pay of the fixed obligation in 10 years and the other a risky portfolio that earns a competitive risk-adjusted return. This approach is a simple two step process of hedging the fixed obligation and then investing the balance of the assets in a return-seeking portfolio.

为何surplus方法不行，看之前的解答说这种方法配置出来的资产是60%equity，40%bond不能cover负债，书上并未说surplus配置出来就是6/4的比例啊，而且hedgeing/return seeking方法不是适用于保守投资者吗？这题明显说需要aggressive的回报

添加评论
1 个答案

lynn_品职助教 · 2023年07月15日

嗨，爱思考的PZer你好：


为何surplus方法不行，看之前的解答说这种方法配置出来的资产是60%equity，40%bond不能cover负债，书上并未说surplus配置出来就是6/4的比例啊，而且hedgeing/return seeking方法不是适用于保守投资者吗？这题明显说需要aggressive的回报


surplus optimization 是surplus的效用最大化，是MVO方法的延伸，所以通常是用数学方法最大化utility function。最大的区分是surplus可以是负数。


hedging/return-seeking，拆成了hedging portfolio和return-seeking portfolio，hedging部分用于cover liability，return-seeking部分追求收益。


主要是看题干的意思


The client wants to earn a competitive risk-adjusted rate of return （追求收益）while maintaining a high level of certainty that there will be sufficient assets to meet the fixed obligation （cover负债），所以有两个目标，是hedging/return-seeking的方法。





这两张表是对这三种方法的高度总结，我们要结合题干，明白出题人的意思。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 385

    浏览
相关问题

NO.PZ201803130100000105 问题如下 The asset allocation approamost appropriate for client Kealoha is best scribeas: A.a surplus optimization approach. B.integrateasset–liability approach. C.a heing/return-seeking portfolios approach. C is correct. The heing/return-seeking portfolios approais best for this client. Bea shoulconstrutwo portfolios, one thinclus riskless bon thwill pof the fixeobligation in 10 years anthe other a risky portfolio thearns a competitive risk-austereturn. This approais a simple two step process of heing the fixeobligation anthen investing the balanof the assets in a return-seeking portfolio. 这道题选对了，大概也知道一旦考试中有两个需求，cover liability加上pursue higher return时是标准的heing/return-seeking方法，只是对于surplus的理解感觉听了基础班和强化串讲还是有点模糊。suplus的方法根据讲解是mvo的延申，那么进行mvo时是只基于surplus的部分还是整个组合都进行mvo呢？因为老师专门提到了surplus的方法不要求必须fully fun那也就是说即使liability小于asset，也可以用这个方法，那么这么推断就是surplus的方法其实是对整个组合进行mvo最优化，那既然如此，和普通的mvo又有什么区别呢，因为总不能对负的部分进行mvo吧，请老师解答。

2024-06-22 15:09 4 · 回答

NO.PZ201803130100000105 问题如下 The asset allocation approamost appropriate for client Kealoha is best scribeas: A.a surplus optimization approach. B.integrateasset–liability approach. C.a heing/return-seeking portfolios approach. C is correct. The heing/return-seeking portfolios approais best for this client. Bea shoulconstrutwo portfolios, one thinclus riskless bon thwill pof the fixeobligation in 10 years anthe other a risky portfolio thearns a competitive risk-austereturn. This approais a simple two step process of heing the fixeobligation anthen investing the balanof the assets in a return-seeking portfolio. The client wants to earn a competitive risk-austerate of return这句话给我感觉是整个portfolio要competitive risk-austerate of return，所以我选了B。为什么不是这样理解？请老师帮忙解答。

2024-04-15 15:09 2 · 回答

NO.PZ201803130100000105问题如下The asset allocation approamost appropriate for client Kealoha is best scribeas: A.a surplus optimization approach. B.integrateasset–liability approach. C.a heing/return-seeking portfolios approach. C is correct. The heing/return-seeking portfolios approais best for this client. Bea shoulconstrutwo portfolios, one thinclus riskless bon thwill pof the fixeobligation in 10 years anthe other a risky portfolio thearns a competitive risk-austereturn. This approais a simple two step process of heing the fixeobligation anthen investing the balanof the assets in a return-seeking portfolio.A _surplus optimization, 为何不正确？Surplus也能保证obligation和return seeking两个目标啊！

2022-04-01 08:44 1 · 回答

NO.PZ201803130100000105 integrateasset–liability approach.和 heing return区别是什么

2022-02-19 14:42 1 · 回答