选项C怎么计算？

* 问题详情，请查看题干

NO.PZ202112010200001902

问题如下：

Which active bond portfolio maximizes expected excess return under a stable credit market assumption versus an equally weighted benchmark portfolio across the three rating categories?

选项：

50% A rated bonds, 50% BBB rated bonds

50% BBB rated bonds, 50% BB rated bonds

50% A rated bonds, 50% B rated bonds

解释：

A is correct. E[ExcessSpread] from Question 15 is 0.90%, 1.00%, and 0.25% for the A-, BBB-, and B rated categories, respectively.

The excess spread of the 50% A rated and 50% BBB rated portfolio is 0.95% (=(0.9% + 1.00%/2) versus the equally weighted portfolio expected excess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while B and C return less than the equally weighted benchmark.

50%B不会算了，是BB, BBB混合？

添加评论

0 个答案

0
回答
0
关注
2
浏览

我要回答关注问题

相关问题

NO.PZ202112010200001902 问题如下 Whiactive bonportfolio maximizes expecteexcess return unra stable cret market assumption versus equally weightebenchmarkportfolio across the three rating categories? A.50% A ratebon, 50% Bratebon B.50% Bratebon, 50% ratebon C.50% A ratebon, 50% B ratebon A is correct. E[ExcessSprea from Question 15 is0.90%, 1.00%, an0.25% for the A-, BBB-, anB ratecategories, respectively.The excess spreof the 50% A ratean50% Brateportfolio is0.95% (=(0.9% + 1.00%/2) versus the equallyweighteportfolio expecteexcess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while BanC return less ththe equally weighteenchmark. 不明白

2023-11-26 00:09 1 · 回答

NO.PZ202112010200001902问题如下 Whiactive bonportfolio maximizes expecteexcess return unra stable cret market assumption versus equally weightebenchmarkportfolio across the three rating categories? A.50% A ratebon, 50% Bratebon B.50% Bratebon, 50% ratebon C.50% A ratebon, 50% B ratebon A is correct. E[ExcessSprea from Question 15 is0.90%, 1.00%, an0.25% for the A-, BBB-, anB ratecategories, respectively.The excess spreof the 50% A ratean50% Brateportfolio is0.95% (=(0.9% + 1.00%/2) versus the equallyweighteportfolio expecteexcess return of 0.7167% (=(0.90% + 1.00% + 0.25%)/3) for a positive active return of 0.233%, while BanC return less ththe equally weighteenchmark. 对题目里stable cret market 的理解是，在基础课cret sprecurve stategies 里第一种static情形，PO=0，所以EXR=OAS，请老师对我这样理解解惑，谢谢。

2022-03-15 23:10 1 · 回答