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徐威廉 · 2022年11月05日

trainor错哪了

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000503

问题如下：

The most appropriate statement in regards to approaches to asset allocation by institutions is made by:

选项：

A.Kelly, regarding their goals-based allocations. B.Trainor. C. Kelly, regarding the Sharpe ratio and modeling of liabilities.

解释：

SolutiA is correct. Kelly’s second comment regarding institutions’ goals-based allocations is correct. Some institutions (e.g., insurance companies) segment their general account assets into sub-portfolios associated with specific lines of business or blocks of liabilities, with each sub-portfolio having its own return objective.

A is correct. Kelly’s second comment regarding institutions’ goals-based allocations is correct. Some institutions (e.g., insurance companies) segment their general account assets into sub-portfolios associated with specific lines of business or blocks of liabilities, with each sub-portfolio having its own return objective.

B is incorrect. Trainor is incorrect. Some institutions may focus on asset-only allocations, but another approach that can be used is liability-relative, which focuses on the assets in relation to the liabilities.

C is incorrect. Kelly’s first comment about the Sharpe ratio and the law of large numbers is incorrect. Institutions that maximize their Sharpe ratio for an acceptable level of volatility would be following an asset-only asset allocation approach, and, as such, they would not be concerned with modeling their liabilities.

trainor错哪了

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lynn_品职助教 · 2022年11月08日

嗨，从没放弃的小努力你好：


同学你好~这几天账号设置有一点问题，回答稍迟，给同学增添麻烦啦~

 

这道题是2018的Mock题，品职放在了经典题Reading5的2.2题，题目其实出得不好，像是咬文嚼字。


Trainor: A goals-based approach to asset allocation is appropriate for individual investors, but institutions need to focus either on the asset or liability side of the balance sheet, depending on the nature of their business.


机构投资者资产配置有AO和ALM两种方法，AO方法只看资产端，ALM要专注于资产和负债两端，两端要匹配，所以T同学说机构投资者focus on the asset side of the balance sheet倒是没问题的，错在 either on the asset or liability side of the balance sheet，正确的表述应该是focus on the relation of asset and liability。

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加油吧，让我们一起遇见更好的自己！

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