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沈雨陶 · 2022年05月16日

这是哪一个小章节的内容

  1. CFA II
  2. Portfolio

NO.PZ2021101401000010

问题如下：

Yuen and Ruckey design a Benchmark Portfolio (A) and a Risk Parity Portfolio (B), and then run two simulation methods (the historical simulation and Monte Carlo simulation) to generate investment performance data based on the underlying nine factor portfolios.

Yuen and Ruckey discuss the differences between the two simulation methods. During the process, Yuen expresses a number of concerns:

• Concern 1: Returns from six of the nine factors are correlated.

To address Concern 1 when designing Monte Carlo simulation, Yuen should:

选项：

A.

model each factor or asset on a standalone basis.

B.

calculate the 15 covariance matrix elements needed to calibrate the model.

C.

specify a multivariate distribution rather than modeling each factor or asset on a standalone basis.

解释：

C is correct. Under Monte Carlo simulation, the returns of Portfolios A and B are driven by the returns of the nine underlying factor portfolios (based on nine common growth factors). In the case of asset or factor allocation strategies, the returns from six of the nine factors are correlated, and therefore it is necessary to specify a multivariate distribution rather than modeling each factor or asset on a standalone basis.

A is incorrect. The returns of six of the nine factors are correlated, which means specifying a multivariate distribution rather than modeling each factor or asset on a standalone basis.

B is incorrect because the analyst should calculate the elements of the covariance matrix for all factors, not only the correlated factors. Doing so entails calculating 36, not 15, elements of the covariance matrix. Monte Carlo simulation uses the factor allocation strategies for Portfolios A and B for the nine factor portfolios, the returns of which are correlated, which means specifying a multivariate distribution. To calibrate the model, a few key parameters need to be calculated: the mean, the standard deviation, and the covariance matrix. For 9 assets, we need to estimate 9 mean returns, 9 standard deviations, and the elements of the covariance matrix is 9×(9−1)2=36\frac{9\times(9-1)}{2}=36

Assuming just the 6 correlated assets, the calculation is 6×(6−1)2=15\frac{6\times(6-1)}{2}=15

这是哪一个小章节的内容

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1 个答案

王琛_品职助教 · 2022年05月17日

嗨，从没放弃的小努力你好：


回测模拟章节，模拟小章节，蒙特卡洛模拟知识点

选项 A 和 C，请参考基础班讲义 P151

选项 B，请参考基础班讲义 P152

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2021101401000010 问题如下 Yuen anRuckey sign a Benchmark Portfolio (ana Risk Parity Portfolio (B), anthen run two simulation metho (the historicsimulation anMonte Carlo simulation) to generate investment performanta baseon the unrlying nine factor portfolios.Yuen anRuckey scuss the fferences between the two simulation metho. ring the process, Yuen expresses a number of concerns:• Concern 1: Returns from six of the nine factors are correlateTo aress Concern 1 when signing Monte Carlo simulation, Yuen shoul A.mol eafactor or asset on a stanlone basis. B.calculate the 15 covarianmatrix elements neeto calibrate the mol. C.specify a multivariate stribution rather thmoling eafactor or asset on a stanlone basis. C is correct. Unr Monte Carlo simulation, the returns of Portfolios A anB are iven the returns of the nine unrlying factor portfolios (baseon nine common growth factors). In the case of asset or factor allocation strategies, the returns from six of the nine factors are correlate antherefore it is necessary to specify a multivariate stribution rather thmoling eafactor or asset on a stanlone basis.A is incorrect. The returns of six of the nine factors are correlate whimeans specifying a multivariate stribution rather thmoling eafactor or asset on a stanlone basis.B is incorrebecause the analyst shoulcalculate the elements of the covarianmatrix for all factors, not only the correlatefactors. ing so entails calculating 36, not 15, elements of the covarianmatrix. Monte Carlo simulation uses the factor allocation strategies for Portfolios A anB for the nine factor portfolios, the returns of whiare correlate whimeans specifying a multivariate stribution. To calibrate the mol, a few key parameters neeto calculate the mean, the stanrviation, anthe covarianmatrix. For 9 assets, we neeto estimate 9 mereturns, 9 stanrviations, anthe elements of the covarianmatrix is 9×(9−1)2=36\frac{9\times(9-1)}{2}=3629×(9−1)​=36Assuming just the 6 correlateassets, the calculation is 6×(6−1)2=15\frac{6\times(6-1)}{2}=1526×(6−1)​=15 虽然给了9个factor中有6个returns相关，但并不知道哪六个。所以在计算的时候需要计算所有9个factor之间两两的covariance？所以是 9×8/2 = 36 。有没有哪些情况是会需要选答案 6×5/2 = 15 的？

2024-04-27 22:25 1 · 回答

NO.PZ2021101401000010 问题如下 Yuen anRuckey sign a Benchmark Portfolio (ana Risk Parity Portfolio (B), anthen run two simulation metho (the historicsimulation anMonte Carlo simulation) to generate investment performanta baseon the unrlying nine factor portfolios.Yuen anRuckey scuss the fferences between the two simulation metho. ring the process, Yuen expresses a number of concerns:• Concern 1: Returns from six of the nine factors are correlateTo aress Concern 1 when signing Monte Carlo simulation, Yuen shoul A.mol eafactor or asset on a stanlone basis. B.calculate the 15 covarianmatrix elements neeto calibrate the mol. C.specify a multivariate stribution rather thmoling eafactor or asset on a stanlone basis. C is correct. Unr Monte Carlo simulation, the returns of Portfolios A anB are iven the returns of the nine unrlying factor portfolios (baseon nine common growth factors). In the case of asset or factor allocation strategies, the returns from six of the nine factors are correlate antherefore it is necessary to specify a multivariate stribution rather thmoling eafactor or asset on a stanlone basis.A is incorrect. The returns of six of the nine factors are correlate whimeans specifying a multivariate stribution rather thmoling eafactor or asset on a stanlone basis.B is incorrebecause the analyst shoulcalculate the elements of the covarianmatrix for all factors, not only the correlatefactors. ing so entails calculating 36, not 15, elements of the covarianmatrix. Monte Carlo simulation uses the factor allocation strategies for Portfolios A anB for the nine factor portfolios, the returns of whiare correlate whimeans specifying a multivariate stribution. To calibrate the mol, a few key parameters neeto calculate the mean, the stanrviation, anthe covarianmatrix. For 9 assets, we neeto estimate 9 mereturns, 9 stanrviations, anthe elements of the covarianmatrix is 9×(9−1)2=36\frac{9\times(9-1)}{2}=3629×(9−1)​=36Assuming just the 6 correlateassets, the calculation is 6×(6−1)2=15\frac{6\times(6-1)}{2}=1526×(6−1)​=15 老师，能在一下，B答案，为什么是用9计算，而不是用6计算呢？

2023-02-05 01:08 3 · 回答