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

返回

Yuyu · 2022年03月08日

是否可以说两个理由？

  1. CFA III
  2. Asset Allocation

NO.PZ2018031301000003

问题如下：

John Tomb is an investment advisor at an asset management firm. He is developing an asset allocation for James Youngmall, a client of the firm. Tomb considers two possible allocations for Youngmall. Allocation A consists of four asset classes: cash, US bonds, US equities, and global equities. Allocation B includes these same four asset classes, as well as global bonds. Youngmall has a relatively low risk tolerance with a risk aversion coefficient (λ) of 7. Tomb runs mean–variance optimization (MVO) to maximize the following utility function to determine the preferred allocation for Youngmall:

Um= E(R)- 0.005λσm2

The resulting MVO statistics for the two asset allocations are presented in Exhibit 1.



Determine which allocation in Exhibit 1 Tomb should recommend to Youngmall. Justify your response.

解释：

Tomb should recommend Allocation B.
The expected utility of Allocation B is 1.89%, which is higher than Allocation A’s expected utility of 1.74%.
MVO provides a framework to determine how much to allocate to each asset class or to create the optimal asset mix. The given objective function is:
Um= E(R)- 0.005λσm2
Using the given objective function and the expected returns and expected standard deviations for Allocations A and B, the expected utilities (certainty equivalent returns) for the two allocations are calculated as:
Allocation A: 6.7% – 0.005 (7) (11.9%)2 = 1.74%
Allocation B: 5.9% – 0.005 (7) (10.7%)2 = 1.89%
Therefore, Tomb should recommend Allocation B because it results in higher expected utility than Allocation A.

老师除了 效用最大化的理由，可否再加一条更加diversified,更适合risk averse的这位客户？

此外，如果在考试中，如果题目没要求计算过程，是不是把结果写上即可？

添加评论
1 个答案

郭静_品职助教 · 2022年03月08日

嗨，努力学习的PZer你好：


老师除了 效用最大化的理由，可否再加一条更加diversified,更适合risk averse的这位客户？

diversification并不是很明显，只是多了一个global bonds，但并未提及这个资产和其他资产的相关性如何。而且，这道题的考点非常明显，肯定就是用效用最大化来作为选择的依据。

此外，如果在考试中，如果题目没要求计算过程，是不是把结果写上即可？

按CFA官方的说法是只写答案是可以的。而且我本人在机考时除了前面的两题写了过程，后面的都只写答案，通过了考试。从这个结果上来看，机考主观题只写答案是没问题的。

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 374

    浏览
相关问题

答案判断及提示不正确 主观题是不是可以不用写公式啊。我直接写计算结果可以吗。

2024-08-13 10:14 2 · 回答

答案判断及提示不正确 主观题是不是可以不用写公式啊。我直接写计算结果可以吗。

2024-08-13 10:08 1 · 回答

NO.PZ2018031301000003问题如下John Tomb is investment aisor asset management firm. Heis veloping asset allocation for James Youngmall, a client of the firm.Tomb consirs two possible allocations for Youngmall. Allocation A consists offour asset classes: cash, US bon, US equities, anglobequities.Allocation B inclus these same four asset classes, well globbon.Youngmall ha relatively low risk toleranwith a risk aversion coefficient(λ) of 7. Tomb runs mean–varianoptimization (MVO) to maximize the followingutility function to termine the preferreallocation for Youngmall: Um= E(R)- 0.005λσm2The resulting MVO statistifor the two asset allocations arepresentein Exhibit 1.terminewhiallocation in Exhibit 1 Tomb shoulrecommento Youngmall. Justify yourresponse. Tomb shoulecommenAllocation B.The expecteutility of Allocation B is 1.89%, whiishigher thAllocation A’s expecteutility of 1.74%.MVO provis a framework to termine how mutoallocate to eaasset class or to create the optimasset mix. The givenobjective function is:Um= E(R)- 0.005λσm2Using the given objectivefunction anthe expectereturns anexpectestanrviations for AllocationsA anthe expecteutilities (certainty equivalent returns) for the twoallocations are calculateas:Allocation 6.7% – 0.005 (7) (11.9%)2 =1.74%Allocation 5.9% – 0.005 (7) (10.7%)2 =1.89%Therefore, Tomb shoulrecommenAllocation B because itresults in higher expecteutility thAllocation A.关于代入百分号的问题如果考到主观题，写公式以解析中的公式为准，将百分号%当作一个单位来理解。计算时不要带入百分号%，即按照这个公式来计算6.7 - 0.005 × 7 × 11.92 计算的结果后面直接加上%。 如上，直接用小数计算的话

2024-03-16 22:23 2 · 回答

NO.PZ2018031301000003 问题如下 John Tomb is investment aisor asset management firm. Heis veloping asset allocation for James Youngmall, a client of the firm.Tomb consirs two possible allocations for Youngmall. Allocation A consists offour asset classes: cash, US bon, US equities, anglobequities.Allocation B inclus these same four asset classes, well globbon.Youngmall ha relatively low risk toleranwith a risk aversion coefficient(λ) of 7. Tomb runs mean–varianoptimization (MVO) to maximize the followingutility function to termine the preferreallocation for Youngmall: Um= E(R)- 0.005λσm2The resulting MVO statistifor the two asset allocations arepresentein Exhibit 1.terminewhiallocation in Exhibit 1 Tomb shoulrecommento Youngmall. Justify yourresponse. Tomb shoulecommenAllocation B.The expecteutility of Allocation B is 1.89%, whiishigher thAllocation A’s expecteutility of 1.74%.MVO provis a framework to termine how mutoallocate to eaasset class or to create the optimasset mix. The givenobjective function is:Um= E(R)- 0.005λσm2Using the given objectivefunction anthe expectereturns anexpectestanrviations for AllocationsA anthe expecteutilities (certainty equivalent returns) for the twoallocations are calculateas:Allocation 6.7% – 0.005 (7) (11.9%)2 =1.74%Allocation 5.9% – 0.005 (7) (10.7%)2 =1.89%Therefore, Tomb shoulrecommenAllocation B because itresults in higher expecteutility thAllocation A.关于代入百分号的问题如果考到主观题，写公式以解析中的公式为准，将百分号%当作一个单位来理解。计算时不要带入百分号%，即按照这个公式来计算6.7 - 0.005 × 7 × 11.92 计算的结果后面直接加上%。 关于计算题，列出计算过程，有几个疑惑1.计算公式是要列出公式、例如预期收益率E(r)，还是只要列出数字、例如6.7%即可？2.计算过程中涉及到公式，比如填写分数，需要填写分子/分母、有上下分隔符；比如平方、需要右上角的上标；比如乘法，是否可以用*星号代替？文本框里怎么编辑公式？3.本题如果按照下述作答是否可以？感觉平方就写个^2，好像不是很规范啊Utility A = 6.7%-0.5 *7 *0.119^2=1.743%Utility B = 5.9%-0.5 *7 * 0.107^2=1.8929%sinutility of B is larger thutility A,to maximize utility we shoulchoose allocation B

2024-02-28 11:24 1 · 回答

NO.PZ2018031301000003 问题如下 John Tomb is investment aisor asset management firm. Heis veloping asset allocation for James Youngmall, a client of the firm.Tomb consirs two possible allocations for Youngmall. Allocation A consists offour asset classes: cash, US bon, US equities, anglobequities.Allocation B inclus these same four asset classes, well globbon.Youngmall ha relatively low risk toleranwith a risk aversion coefficient(λ) of 7. Tomb runs mean–varianoptimization (MVO) to maximize the followingutility function to termine the preferreallocation for Youngmall: Um= E(R)- 0.005λσm2The resulting MVO statistifor the two asset allocations arepresentein Exhibit 1.terminewhiallocation in Exhibit 1 Tomb shoulrecommento Youngmall. Justify yourresponse. Tomb shoulecommenAllocation B.The expecteutility of Allocation B is 1.89%, whiishigher thAllocation A’s expecteutility of 1.74%.MVO provis a framework to termine how mutoallocate to eaasset class or to create the optimasset mix. The givenobjective function is:Um= E(R)- 0.005λσm2Using the given objectivefunction anthe expectereturns anexpectestanrviations for AllocationsA anthe expecteutilities (certainty equivalent returns) for the twoallocations are calculateas:Allocation 6.7% – 0.005 (7) (11.9%)2 =1.74%Allocation 5.9% – 0.005 (7) (10.7%)2 =1.89%Therefore, Tomb shoulrecommenAllocation B because itresults in higher expecteutility thAllocation A.关于代入百分号的问题如果考到主观题，写公式以解析中的公式为准，将百分号%当作一个单位来理解。计算时不要带入百分号%，即按照这个公式来计算6.7 - 0.005 × 7 × 11.92 计算的结果后面直接加上%。 直接写结果

2024-01-15 11:23 1 · 回答