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七七 · 2024年08月07日

kelly的第一个表述怎么理解

  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.

请问老师，kelly的第一个表述怎么理解

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lynn_品职助教 · 2024年08月08日

嗨，努力学习的PZer你好：


第一个表述，Kelly 提到的机构的目标分配方法是正确的。例如，保险公司会将其总账资产分成与特定业务线或负债块相关的子组合，每个子组合都有自己的回报目标。这种方法可以更好地管理风险和优化回报，确保每个子组合的需求得到有针对性和高效的满足。


A typical objective of some institutions is to maximize their Sharpe ratio for an acceptable level of volatility, and they rely on the law of large numbers to assist them in modeling their liabilities. 


大数定律通常用于描述大样本数量下的随机现象，而不是用于建模负债。建模负债通常涉及使用财务模型和风险管理方法，而不是依赖于大数定律。


并且我们也不太用最大化夏普比率，MVO中也是最大化utility，这里也不是最佳选项。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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