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

mino酱是个小破货 · 2025年07月05日

烦请问下老师这么回答可以吗?谢谢老师。

NO.PZ2023010407000037

问题如下:

Mbalenhle Calixto is a global institutional portfolio manager who prepares for an annual meeting with the investment committee (IC) of the Estevão University Endowment. The endowment has €450 million in assets, and the current asset allocation is 42% equities, 22% fixed income, 19% private equity, and 17% hedge funds.

The IC’s primary investment objective is to maximize returns subject to a given level of volatility. A secondary objective is to avoid a permanent loss of capital, and the IC has indicated to Calixto its concern about left-tail risk. Calixto considers two asset allocation approaches for the endowment: mean–variance optimization (MVO) and mean–CVaR (conditional value at risk) optimization.

Determine the asset allocation approach that is most suitable for the Endowment. Justify your response.

选项:

解释:


The mean–CVaR (conditional value at risk) optimization is most suitable for the Endowment.

The current asset allocation of endowment is 42% equities, 22% fixed income, 19% private equity, and 17% hedge funds.

Since it has invested in alternatives, the endowment is non-normal distribution.

The assumption of MVO is normal distributed portfolio.

0 个答案
  • 0

    回答
  • 0

    关注
  • 2

    浏览
相关问题

NO.PZ2023010407000037 问题如下 Mbalenhle Calixto is a globinstitutionportfolio manager who prepares for annumeeting with the investment committee (Iof the Estevão University Enwment. The enwment h€450 million in assets, anthe current asset allocation is 42% equities, 22% fixeincome, 19% private equity, an17% hee fun. The IC’s primary investment objective is to maximize returns subjeto a given level of volatility. A seconry objective is to avoia permanent loss of capital, anthe IC hincateto Calixto its concern about left-tail risk. Calixto consirs two asset allocation approaches for the enwment: mean–varianoptimization (MVO) anmean–CV(contionvalue risk) optimization.termine the asset allocation approathis most suitable for the Enwment. Justify your response. In conclusion, mean–CV(contionvalue risk) optimization is most suitable for the Enwment. Because CVoptimization woulconsir the negative skewness anftail risk. ing CVoptimization, asset allocation woulalterecomparing to mean–varianoptimization (MVO). The IC hincateto Calixto its concern about left-tail risk. So using mean–CV(contionvalue risk) optimization is most suitable for the Enwment.

2025-04-01 14:59 1 · 回答

NO.PZ2023010407000037 问题如下 Mbalenhle Calixto is a globinstitutionportfolio manager who prepares for annumeeting with the investment committee (Iof the Estevão University Enwment. The enwment h€450 million in assets, anthe current asset allocation is 42% equities, 22% fixeincome, 19% private equity, an17% hee fun. The IC’s primary investment objective is to maximize returns subjeto a given level of volatility. A seconry objective is to avoia permanent loss of capital, anthe IC hincateto Calixto its concern about left-tail risk. Calixto consirs two asset allocation approaches for the enwment: mean–varianoptimization (MVO) anmean–CV(contionvalue risk) optimization.termine the asset allocation approathis most suitable for the Enwment. Justify your response. 请问老师,这样写可以么?我看答案写了好多Mean–CVoptimization is most suitable for the Enwment. Alternative risk is usually not normstribution. However, MVO is using stanrviation to measure risk whiassumes the risk is normstribution. So MVO is not suitable for the Enwment. Mean–CVoptimization is using CVmeasure risk whimeasures the average risk on the left-tail. So it is more suitable for the enwment.

2025-01-08 00:17 1 · 回答

NO.PZ2023010407000037 问题如下 Mbalenhle Calixto is a globinstitutionportfolio manager who prepares for annumeeting with the investment committee (Iof the Estevão University Enwment. The enwment h€450 million in assets, anthe current asset allocation is 42% equities, 22% fixeincome, 19% private equity, an17% hee fun. The IC’s primary investment objective is to maximize returns subjeto a given level of volatility. A seconry objective is to avoia permanent loss of capital, anthe IC hincateto Calixto its concern about left-tail risk. Calixto consirs two asset allocation approaches for the enwment: mean–varianoptimization (MVO) anmean–CV(contionvalue risk) optimization.termine the asset allocation approathis most suitable for the Enwment. Justify your response. mean–CV(contionvalue risk) optimization is the most suitable. the reasons are following:the stribution of the current asset is no nomstuibution. using MVO mover allocate the rivative.mean–CVoptimization consir the left tail risk, whicmeet the nee of IC.

2024-01-11 19:14 1 · 回答