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粉红豹 · 2019年12月10日

问一道题:NO.PZ201803130100000401

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问题如下:

Contrast, using the information provided above, the results of a reverse optimization approach with that of the MVO approach for each of the following:
i. The asset allocation mix. Justify your response.

选项:

解释:

■ The asset allocation weights for the reverse optimization method are inputs into the optimization and are determined by the market capitalization weights of the global market portfolio.

■ The asset allocation weights for the MVO method are outputs of the optimization with the expected returns, covariances, and a risk aversion coefficient used as inputs.

■ The two methods result in significantly different asset allocation mixes.

■ In contrast to MVO, the reverse optimization method results in a higher percentage point allocation to global bonds, US bonds, and global equities as well as a lower percentage point allocation to cash and US equities.

The reverse optimization method takes the asset allocation weights as its inputs that are assumed to be optimal. These weights are calculated as the market capitalization weights of a global market portfolio. In contrast, the outputs of an MVO are the asset allocation weights, which are based on (1) expected returns and covariances that are forecasted using historical data and (2) a risk aversion coefficient. The two methods result in significantly different asset allocation mixes. In contrast to MVO, the reverse optimization method results in a 4.9, 5.5, and 10.1 higher percentage point allocation to US bonds, global equities, and global bonds, respectively, and a 6.1 and 14.4 lower percentage point allocation to cash and US equities, respectively.
The asset allocation under the two methods is as follows:



reverse optimization 下面的各个weights是怎么计算出来的,考试时候会让计算这些吗?

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年12月10日

嗨,努力学习的PZer你好:


reverse optimization 下的权重就是市值权重,比如cash,用cash的市值4.2除以总市值107.8,4.2/107.8=3.9%。

改考纲之后AA没有出过需要计算的上午题,但是这道题目是今年原版书新增的,所以有可能出类似的题型吧。计算市值权重不难。MVO的权重不会考计算。


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