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

简ying · 2019年07月19日

想问下，收益率怎么确定是单利复利，为啥不用In（209万\200万）算出4.4%

  1. CFA I
  2. Quantitative

问题如下图：想问下，收益率怎么确定是单利复利，为啥不用In（209万\200万）算出4.4%

选项：

A.

B.

C.

解释：

添加评论
1 个答案

污叫兽 · 2019年07月20日

同学你好~探讨一下我的理解~

答案中给的RL是shortfall risk，而不是持有期收益率~RL是指客户投资组合的最低期望回报率，那么，答案中也说了，低于RL的资产恐怕会有碍组合的整体表现~大概客户是要告辞了~

下面就是套公式了~safety-first ratio 越大的组合配置越优，计算在答案中有呈现，B最大~

至于你提到的单利复利问题，本题不涉及，在求其他具体收益率的时候可能会用到。单利年化是按360天计算，复利年化按365天计算，一般也会直接给出条件，毕竟主要是为了求收益率~

简ying · 2019年07月20日

谢谢

污叫兽 · 2019年07月20日

不必客气 一起加油

  • 1

    回答

  • 0

    关注

  • 488

    浏览
相关问题

NO.PZ2017092702000101 问题如下 A client holng a £2,000,000 portfolio wants to with£90,000 in one yewithout invang the principal. Accorng to Roy’s safety-first criterion, whiof the following portfolio allocations is optimal? A.Allocation B.Allocation C.Allocation B is correct. Allocation B hthe highest safety-first ratio. The thresholreturn level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less thRL = 4.5% will inva the portfolio principal. To compute the allocation this safety-first optimal, selethe alternative with the highest ratio:lE[(Rp−RL)]σPAllocation A =6.5−4.58.35=0.240Allocation B =7.5−4.510.21=0.294Allocation C =8.5−4.514.34=0.279{l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279lσP​E[(Rp​−RL​)]​Allocation A =8.356.5−4.5​=0.240Allocation B =10.217.5−4.5​=0.294Allocation C =14.348.5−4.5​=0.279 1

2023-02-15 17:02 1 · 回答

NO.PZ2017092702000101问题如下 A client holng a £2,000,000 portfolio wants to with£90,000 in one yewithout invang the principal. Accorng to Roy’s safety-first criterion, whiof the following portfolio allocations is optimal?A.Allocation A B.Allocation BC.Allocation CB is correct. Allocation B hthe highest safety-first ratio. The thresholreturn level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less thRL = 4.5% will inva the portfolio principal. To compute the allocation this safety-first optimal, selethe alternative with the highest ratio:lE[(Rp−RL)]σPAllocation A =6.5−4.58.35=0.240Allocation B =7.5−4.510.21=0.294Allocation C =8.5−4.514.34=0.279{l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279lσP​E[(Rp​−RL​)]​Allocation A =8.356.5−4.5​=0.240Allocation B =10.217.5−4.5​=0.294Allocation C =14.348.5−4.5​=0.279 如题，公式看起来一样呀。视频里没有讲

2022-05-17 20:47 2 · 回答

NO.PZ2017092702000101问题如下A client holng a £2,000,000 portfolio wants to with£90,000 in one yewithout invang the principal. Accorng to Roy’s safety-first criterion, whiof the following portfolio allocations is optimal?A.Allocation A B.Allocation BC.Allocation CB is correct. Allocation B hthe highest safety-first ratio. The thresholreturn level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less thRL = 4.5% will inva the portfolio principal. To compute the allocation this safety-first optimal, selethe alternative with the highest ratio:lE[(Rp−RL)]σPAllocation A =6.5−4.58.35=0.240Allocation B =7.5−4.510.21=0.294Allocation C =8.5−4.514.34=0.279{l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279lσP​E[(Rp​−RL​)]​Allocation A =8.356.5−4.5​=0.240Allocation B =10.217.5−4.5​=0.294Allocation C =14.348.5−4.5​=0.279 我是2022年11月份的考生，想请问在听课时没有听到罗伊第一安全比率这个知识点，强化串讲也没有，是被取消了么

2022-04-21 15:17 1 · 回答

NO.PZ2017092702000101 Allocation B Allocation C B is correct. Allocation B hthe highest safety-first ratio. The thresholreturn level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less thRL = 4.5% will inva the portfolio principal. To compute the allocation this safety-first optimal, selethe alternative with the highest ratio: lE[(Rp−RL)]σPAllocation A =6.5−4.58.35=0.240Allocation B =7.5−4.510.21=0.294Allocation C =8.5−4.514.34=0.279{l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279lσP​E[(Rp​−RL​)]​Allocation A =8.356.5−4.5​=0.240Allocation B =10.217.5−4.5​=0.294Allocation C =14.348.5−4.5​=0.279  如标题、为什么选最大的那个、不太懂

2021-04-22 22:51 1 · 回答

Allocation B Allocation C B is correct. Allocation B hthe highest safety-first ratio. The thresholreturn level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less thRL = 4.5% will inva the portfolio principal. To compute the allocation this safety-first optimal, selethe alternative with the highest ratio: lE[(Rp−RL)]σPAllocation A =6.5−4.58.35=0.240Allocation B =7.5−4.510.21=0.294Allocation C =8.5−4.514.34=0.279{l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279lσP​E[(Rp​−RL​)]​Allocation A =8.356.5−4.5​=0.240Allocation B =10.217.5−4.5​=0.294Allocation C =14.348.5−4.5​=0.279  为什么RL是用9000/20000呢?

2020-11-04 21:09 1 · 回答