NO.PZ202212280100002701
问题如下：
The risk- free
rate is 2.0%, and the global market risk premium is 5.5%. Contrast, using the
information provided above, the results of a reverse optimization approach with
that of the MVO approach for each of the following:
i. The asset allocation mix
Justify
your response.
选项：
解释：
i. The asset
allocation mix
•
The asset allocation weights
for the reverse optimization method are inputs into the optimization and are
determined by the market capitalization weights of the global market portfolio.
•
The asset allocation weights
for the MVO method are outputs of the optimization with the expected returns,
covariances, and a risk aversion coefficient used as inputs.
•
The two methods result in
significantly different asset allocation mixes.
•
In contrast to MVO, the reverse
optimization method results in a higher percentage point allocation to global
bonds, US bonds, and global equities as well as a lower percentage point
allocation to cash and US equities.
The reverse
optimization method takes the asset allocation weights as its inputs that are
assumed to be optimal. These weights are calculated as the market
capitalization weights of a global market portfolio. In contrast, the outputs
of an MVO are the asset allocation weights, which are based on (1) expected
returns and covariances that are forecasted using historical data and (2) a
risk aversion coefficient. The two methods result in significantly different
asset allocation mixes. In contrast to MVO, the reverse optimization method
results in a 4.9, 5.5, and 10.1 higher percentage point allocation to US bonds,
global equities, and global bonds, respectively, and a 6.1 and 14.4 lower
percentage point allocation to cash and US equities, respectively. The asset
allocation under the two methods is as follows:
我看题目是The asset allocation mix，就直接把各资产类别的权重给算出来了，是题目想问的吗？
cash: 3.8961%
US bond: 24.8609%
US equities: 20.5937%
global equities: 25.5102%
global bond: 25.1391%