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yan · 2024年09月25日

1.题干中说either on the asset or liability,即或的意思，那为什么B是错误的？没明白

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000503

问题如下：

The most appropriate statement in regards to approaches to asset allocation by institutions is made by:

选项：

A.Kelly, regarding their goals-based allocations. B.Trainor. C. Kelly, regarding the Sharpe ratio and modeling of liabilities.

解释：

SolutiA is correct. Kelly’s second comment regarding institutions’ goals-based allocations is correct. Some institutions (e.g., insurance companies) segment their general account assets into sub-portfolios associated with specific lines of business or blocks of liabilities, with each sub-portfolio having its own return objective.

A is correct. Kelly’s second comment regarding institutions’ goals-based allocations is correct. Some institutions (e.g., insurance companies) segment their general account assets into sub-portfolios associated with specific lines of business or blocks of liabilities, with each sub-portfolio having its own return objective.

B is incorrect. Trainor is incorrect. Some institutions may focus on asset-only allocations, but another approach that can be used is liability-relative, which focuses on the assets in relation to the liabilities.

C is incorrect. Kelly’s first comment about the Sharpe ratio and the law of large numbers is incorrect. Institutions that maximize their Sharpe ratio for an acceptable level of volatility would be following an asset-only asset allocation approach, and, as such, they would not be concerned with modeling their liabilities.

1.题干中说either on the asset or liability,即或的意思，那为什么B是错误的？没明白


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lynn_品职助教 · 2024年09月26日

嗨，从没放弃的小努力你好：


同学你好：

1.题干中说either on the asset or liability,即或的意思，那为什么B是错误的？没明白

这道题其实出的不好，有点咬文嚼字了。
 Trainor 说机构投资者focus on the asset side of the balance sheet是没问题的，但是either on the asset or liability side of the balance sheet表达不对，正确的表述应该是focus on the relation of asset and liability。

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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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