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Jerry · 2019年09月30日

问一道题:NO.PZ2015111901000009

问题如下图:

    

怎么知道allocation 1有90%,allocation 2有30%啊?谢谢。

1 个答案

Sia · 2019年10月02日

根据每个Probability Senario算出来的结果是不是大于1,050,000看出来的

Livia · 2020年01月07日

如果根据每个Probability Senario算出来的,那么allocation 1 不是应该有60%而不是90%么?

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NO.PZ2015111901000009 老师,想问下真实考试时,下面这两句关于BPT的描述需要写吗?不写扣分吗? A BPT investor constructs a portfolio in layers to satisfy investor goals rather thmean–varianefficient. The investor’s expectations of returns anattitus towarrisk vary between the layers. In this case, Luntrom ha safety objective of $900,000 anaspirationlevel of return of 5% ($50,000) with a 75% probability. 计算这段肯定是不需要写的吧? Given the expectereturns for the riskless anspeculative layers, Allocation 1 will result in the following amounts: 10% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1 – 0.25) = $900,450 60% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1.12) = $1,052,150 30% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1.50) = $1,207,950. Given the expectereturns for the riskless anspeculative layers, Allocation 2 will result in the following amounts: 10% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1 – 0.25) = $979,500 60% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1.12) = $1,016,500 30% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1.50) = $1,054,500 只回答下面这段是不是就算答全了? Both portfolio allocations meet the safety objective of $900,000 (minimum value of $900,450 for Allocation 1 an$979,500 for Allocation 2). Allocation 1 ha 90% chanof exceeng the aspirationlevel of $1,050,000, however, whereAllocation 2 honly a 30% chanof exceeng it. a result, only Allocation 1 meets both the safety objective anthe 75% probability of reaching the aspirationlevel. Thus, Allocation 1 is closest to the BPT optimportfolio for Luntrom.

2021-10-15 06:43 1 · 回答

NO.PZ2015111901000009 Allocation 1 ha 90% chanof exceeng the aspirationlevel of $1,050,000, however, whereAllocation 2 honly a 30% chanof exceeng it. a result, only Allocation 1 meets both the safety objective anthe 75% probability of reaching the aspirationlevel. Thus, Allocation 1 is closest to the BPT optimportfolio for Luntrom. 这段话什么意思?没看懂~~

2021-05-02 17:16 1 · 回答

NO.PZ2015111901000009比如考试碰到之前又没遇到过这种类型的题目该怎么办?

2021-02-25 18:23 1 · 回答

请问这题为什么不能算speculative layer return的期望 然后再加上riskless layer呢?谢谢! client 1: [(1-25%) * 10% + 1.12 * 60% + 1.5 * 30% ] * 1,000,000 * 41%  + 59% * 1,000,000 *0.5% = 493720 client 2: [(1-25%) * 10% + 1.12 * 60% + 1.5 * 30% ] * 1,000,000 * 10%  + 90% * 1,000,000 *0.5% = 124200

2019-11-14 04:31 2 · 回答

这种题怎么作答呀? 怎么判断对错呢

2019-11-10 21:29 2 · 回答