lect3 Asset Allocation
投资项目风险管理优先度评价分析
投资项目风险管理优先度评价分析
投资项目风险管理是投资者在投资过程中需要关注和应对的一个重要方面。
为了降低
风险，保证投资项目的安全和收益，投资者需要对不同的风险进行评估和优先级的确定。
投资者需要对投资项目可能面临的各种风险进行全面的梳理和分析。
常见的投资项目
风险包括市场风险、经营风险、法律风险、金融风险等。
在评价风险的过程中，投资者需
要根据项目的特点和所处行业的特点，确定该项目可能面临的主要风险类型。
投资者需要对每种风险的可能性和影响程度进行评估。
可能性评估是指在项目运作过
程中，某种风险发生的概率。
影响程度评估是指某种风险发生后对项目产生的影响程度。
投资者可采用定性和定量的方法进行评估，例如使用SWOT分析、坏账率预测等。
评估结果可以用概率和数值进行表示。
然后，投资者需要确定不同风险的优先级。
优先级可以根据风险的可能性和影响程度
的评估结果来确定。
一般来说，可能性和影响程度都较高的风险应被视为高优先级，需要
投入更多资源进行管理和控制。
相反，可能性和影响程度较低的风险可以被视为低优先级，可以采取相对较低的措施管理和控制。
投资者需要制定相应的风险管理策略和措施。
对于高优先级的风险，投资者需要制定
相应的应对措施，包括降低风险的概率和影响程度，或者寻找风险转移的方式。
对于低优
先级的风险，投资者可以采取相对较低的措施进行管理，以保证项目的正常运行。
三季度综合收益率计算公式
三季度综合收益率计算公式在金融投资领域，综合收益率是一个非常重要的指标，它可以帮助投资者了解自己的投资表现。
综合收益率是投资组合在一定时期内的总体表现，它包括了资本收益和现金收益两部分。
在本文中，我们将介绍三季度综合收益率的计算公式，并讨论该指标的重要性以及如何应用它来评估投资表现。
三季度综合收益率的计算公式如下：综合收益率 = （期末市值期初市值 + 现金收益）/ 期初市值。
其中，期初市值是指投资组合在季度初的市值，期末市值是指投资组合在季度末的市值，现金收益是指在季度内获得的现金收益。
通过这个公式，我们可以计算出投资组合在三季度内的综合收益率。
综合收益率是一个非常重要的指标，它可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
首先，综合收益率可以帮助投资者了解自己的投资表现。
t3项目核算大类设置
t3项目核算大类设置英文回答：T3 Project Accounting Major Category Setup.In T3 project accounting, major categories are used to group and classify project costs and revenues. These categories provide a high-level overview of the project's financial performance and are used for various purposes, such as budgeting, forecasting, and reporting. The setup of major categories in T3 project accounting involves defining the following:1. Major Category Code: A unique code assigned to each major category.2. Major Category Name: A descriptive name that clearly identifies the category.3. Major Category Type: The type of category, such asincome, expense, or asset.4. Major Category Group: A grouping of related major categories.5. Major Category Description: A brief description of the category's purpose and scope.Major Category Hierarchy.Major categories can be organized into a hierarchical structure. The top level of the hierarchy typically includes broad categories, such as "Revenue" or "Expenses." Lower levels of the hierarchy can be used to create more granular categories, such as "Sales Revenue" or "Marketing Expenses."Default Major Categories.T3 project accounting comes with a set of default major categories that can be used as a starting point. These default categories cover common project cost and revenuetypes, such as:Income.Sales Revenue.Service Revenue.Other Income.Expenses.Cost of Goods Sold. Salaries and Wages. Marketing Expenses. Overhead Expenses. Custom Major Categories.In addition to the default major categories, T3 project accounting allows you to create custom major categories to meet specific project requirements. Custom categories can be created for a variety of purposes, such as:Tracking project-specific costs or revenues.Creating categories for specific industries or project types.Aligning categories with external financial reporting requirements.Mapping Major Categories.Major categories can be mapped to other project accounting elements, such as cost accounts and revenue accounts. This mapping allows project costs and revenues to be classified and aggregated according to the major category structure.Benefits of Major Category Setup.Proper setup of major categories in T3 project accounting provides several benefits, including:Improved project profitability analysis.Enhanced budgeting and forecasting accuracy.Simplified reporting and financial analysis.Alignment with external financial reporting standards.中文回答：T3项目核算大类设置。
飞机资产管理三部曲-第一部分资产价值第二节（共两节）
飞机资产管理三部曲-第一部分资产价值第二节（共两节）接上文四技术管理几乎所有的飞机所有人都同意一定程度的技术监管是资产管理的一个重要部分，但此观点并不适用于以何种方式监管。
作为管理了来自银行的30架飞机的AMS飞机总裁，Mike Skinner阐述到，浅层次的飞机监控已经足够，即要求简单的定期检查飞机和履历资料，但他同时说，随着由于定期退租或非计划的自愿或非自愿飞机退租产生的难受经历的增加，许多飞机所有人产生了对高水平技术监管的需求。
这部分增长的技术管理的范围包括飞机利用率监控，维修工作包评估，安排定检期间检查以及其它承租人或使用者的特殊技术工作。
多数出租人自己组建技术团队并进行技术管理，但是规模较小的出租人，银行和投资人可以很容易将这些工作外包给数量众多的专业公司。
Forsberg提到对于飞机所有人一开始要深刻理解他们目标市场上的每一种机型，Avolon在从技术观点分析每一种机型上花费了大量的资源，从而建立其正确的价值理念，包括主要部件的详细估值，例如发动机，高价值件，改装和BFE。
比如，737-800安装的高推力的CFM56-7B27推力为27，000磅，标准构型推力为26，000磅，1000磅的价格大概100万，高推力适用于5%的800机型用户用于高温高海拔环境。
从租赁的角度，不会喜欢未来的运营人要求或需要这种推力改装，因为改装产生的价值只能在现有租期内体现，因此此费用特定的折扣处理就需要进行考虑。
类似的像HUD,作为非标准选装设备，同样需要进行价值上的折扣处理。
上述例子强调了飞机改装状态的重要性，因为非常用的构型改装将对飞机再次租赁的能力产生负面影响，从而降低其价值，尽管安装费用高昂。
这种情况同样适用与非常用的内饰构型，例如窄体机或支线机中的头等舱座椅，或不常用的厨房布局。
五定期检查从持续保值的观点，对飞机进行定期检查和相关履历检查是否必要存在稍许争议，大部分的租赁合同会要求在不影响承租人安静使用权的基础上允许定期检查，尽管检查频率和深度各异。
CFA3级背诵内容4-Asset allocation
Asset allocation 一、机构投资者和个人投资者的不同点 1. Liability of institutional investor are legal obligations or debts. There is no legal obligations for individual investor but goals, such as lifestyle object. 2. Institutional liability are uniform in nature but individual’s goals may be many and varied; 3. Institutional liability may be forecast with confidence. But individual goals are not subject to the law of large numbers and averaging;
Asset allocation 一、使用 Asset Class 的缺点 Modeling using asset classes as the unit of analysis tend to obscure the portfolio’s sensitivity to overlapping risk factors.
Asset allocation 一、重调整的几个方法 1. Rebalance back to target weight. 2. Rebalance to range edge. 3. Rebalance halfway between the range-edge trigger point and the target weight.
Asset allocation 一、传统 MVO 方法的缺点
t3怎么看选的是啥子财务制度
t3怎么看选的是啥子财务制度财务制度是指对一个企业的财务管理和财务运作进行规范和管理的体系。
财务制度的设计和实施对企业的财务管理和经营活动起着至关重要的作用。
在财务制度中，T3是一个重要的概念，它代表了财务制度的一种自动化处理方式。
那么，T3怎么看选的是啥子财务制度呢？首先，需要明确T3是什么意思。
T3是指Trade Confirmation, Clearing and Settlement三个过程的缩写。
这一过程是指在证券交易中，确认交易、结算和交割的一系列操作。
在财务制度中，T3的选择要根据企业的实际情况和需求来确定。
选择T3需要考虑以下几个方面：首先，要考虑企业的规模和业务复杂度。
对于规模较小、业务简单的企业来说，选择T3可能会增加成本和复杂度。
因此，可以考虑在财务制度中采用其他更简单和成本较低的方式来处理交易确认、结算和交割。
其次，要考虑企业的财务风险和合规要求。
在财务制度中选择T3可能会增加交易的透明度和可追溯性，从而减少财务风险。
此外，T3还可以帮助企业满足监管机构对交易确认、结算和交割的要求。
再次，要考虑企业的信息技术能力和资源。
在财务制度中选择T3需要相应的技术支持和投入。
如果企业缺乏相应的技术能力和资源，可能会导致T3的实施困难。
最后，要考虑T3的成本和效益。
在财务制度中选择T3需要权衡成本和效益。
虽然T3可能会增加一定的成本，但可以提高交易的效率和准确性，从而带来长远的收益。
综上所述，T3怎么看选的是啥子财务制度需要结合企业的实际情况和需求进行综合考虑。
选择T3不仅需要满足企业的财务管理和经营需求，还需要考虑成本、风险和效益等因素。
只有在全面考虑的基础上，才能选择适合企业的财务制度，实现财务管理的有效运作。
投资组合管理业绩评估
投资组合管理业绩评估投资组合管理业绩评估是对投资组合管理者所创造的价值和能力的评估。
投资组合管理是一种管理投资者资金的方式，旨在通过配置不同类型资产，以实现收益最大化和风险最小化的目标。
投资组合管理的业绩评估是非常重要的，因为它能够衡量投资组合管理者的能力和表现。
评估投资组合管理的业绩可以通过多种方式进行，如风险调整收益率、夏普比率等。
下面将详细介绍这些评估指标以及如何使用它们来评估投资组合管理的业绩。
首先是风险调整收益率。
风险调整收益率是指以单位风险所获得的收益。
它的计算方法是将投资组合的收益率减去无风险利率，再除以投资组合的标准差。
风险调整收益率能够反映出管理者在承担风险的情况下，相对于无风险投资所获得的超额收益。
高风险调整收益率意味着管理者能够在相同风险水平下获得更高的回报，这表明管理者具有较强的投资能力。
另一个重要的评估指标是夏普比率。
夏普比率是指投资组合超额收益与风险之间的平衡关系。
它的计算方法是投资组合超额收益率减去无风险利率，再除以投资组合的标准差。
夏普比率能够衡量超额收益与风险之间的关系，较高的夏普比率代表投资组合在承担较低风险的情况下，能够获得较高的回报。
夏普比率是投资组合管理业绩评估中最常用的指标之一。
此外，还可以使用其他指标如索提诺比率、特雷诺比率等来进行业绩评估。
索提诺比率是投资组合超额收益与风险之间的比率，它的计算方法是投资组合超额收益率除以投资组合的下行风险。
特雷诺比率是指投资组合超额收益与系统风险之间的比率，它的计算方法是投资组合超额收益率除以投资组合的贝塔系数。
除了以上的指标，还可以考虑其他因素如投资组合的波动性、业绩持续性、投资组合的Alpha等来评估投资组合管理的业绩。
波动性是指投资组合收益率的波动程度，较低的波动性代表较低的风险。
业绩持续性是指投资组合管理者能够在不同时间段中持续地创造超额收益的能力。
Alpha是指投资组合相对于市场组合所获得的超额收益，较高的Alpha代表管理者能够击败市场。
券商资产管理估值清算流程
券商资产管理估值清算流程下载温馨提示:该文档是我店铺精心编制而成，希望大家下载以后，能够帮助大家解决实际的问题。
文档下载后可定制随意修改，请根据实际需要进行相应的调整和使用，谢谢!并且，本店铺为大家提供各种各样类型的实用资料，如教育随笔、日记赏析、句子摘抄、古诗大全、经典美文、话题作文、工作总结、词语解析、文案摘录、其他资料等等，如想了解不同资料格式和写法，敬请关注!Download tips: This document is carefully compiled by theeditor. I hope that after you download them,they can help yousolve practical problems. The document can be customized andmodified after downloading,please adjust and use it according toactual needs, thank you!In addition, our shop provides you with various types ofpractical materials,such as educational essays, diaryappreciation,sentence excerpts,ancient poems,classic articles,topic composition,work summary,word parsing,copy excerpts,other materials and so on,want to know different data formats andwriting methods,please pay attention!券商资产管理估值清算流程一、准备工作阶段在开展券商资产管理的估值清算工作之前，需要进行一系列细致的准备。
美国商业银行贷款损失准备的会计
作者： 沈绍桢
作者机构： 交通银行香港分行
出版物刊名： 新金融
页码： 32-33页
摘要：国外提取呆帐准备金的计算方式,由两个部分组成相当于当前坏帐的一个金额加上经税法许可的加在产权资本上的一个免税款.第一个组成部分应当恰当地看作贷款收益的减少,而第二个组成部分是对产权资本的真实的增加,并在实际上与产权资本起同样的作用,因为这一部分是少分给股东的(在分红时已扣除). 贷款损失准备金与银行资本具有相似的职能,这几年准备金已成为银行资本的一个重要来源. 我们在接待外国银行时曾征询过几家美国的银行.他们意思是采取这种方式后呆帐准备提取率为百分之三,其中百分之一是按税法规定可以在所得税中扣除的(即税前提取),百分之二是向股东要的(即税后提取).。
高级财务会计专题讨论
高级财务会计专题讨论要求：以3～10人组成小组为单位，小组任选题目进行讨论。
讨论采取非实时跟帖的形式，有效跟帖数必须达到6个，每贴发言字数不能少于150字。
讨论题目：1、货币购买力损益与资产持有损益之间的区别？哪个更易计算和使用？2、将物价变动对企业带来的影响计入损益和计入所有者权益，哪个更符合实际？更易被我国接受？3、我国是否存在物价变动会计？4、期货交易需要什么样的环境？期货交易对现货交易会产生怎样的影响？5、投机套利和套期保值在会计处理上的异同何在？差异的关键点在哪里？6、最低租赁付款额是怎样计算的？考虑有担保余值、无担保余值、有廉价购买选择权、无廉价购买选择权时的情况又会怎样？1、货币购买力损益与资产持有损益之间的区别？哪个更易计算和使用？答：(1)货币购买力损益，一般与国内的物价水平相关，在货币升值的时候，还会涉及到汇率的变动。
一般而言，在货币量一定的情况下，物价水平越高，货币的购买力就越弱；货币升值幅度越大，货币对于国外资产的购买力就越强。
一般而言，在不涉及汇率的时候，货币购买力的损益计算没有太大的价值，物价水平统计不易，且不易衡量。
(2)资产持有损益，一般以持有资产的价格变动为基础来计量，比较容易计算持有资产的损益，这也是公允价值计量属性的价值所在。
2、将物价变动对企业带来的影响计入损益和计入所有者权益，哪个更符合实际？更易被我国接受？答：应该说直接计入损益更符合会计的谨慎性原则，实际上计入损益，最终也是影响了所有者权益的3、我国是否存在物价变动会计？答：我认为，我国虽然没有建立有关物价变动会计的具体会计准则，但是，在业务实践中存在物价变动会计的问题。
我国现阶段既存在物价变动会计的部分调整法，又存在类似于国外物价变动会计的全部调整法。
但是，由于我国客观经济环境与西方国家不同，现阶段的物价变动会计无论是在计价基础，还是在实施环节上，都与现有国际会计准则的要求有较大区别。
4、期货交易需要什么样的环境？期货交易对现货交易会产生怎样的影响？答：期货交易时在一个公平，公开，公正的情况下交易的期货交易必须在交易所内依照法规进行公开、集中交易，不能进行场外交易期货交易除了国家的法律和行业、交易所规则之外，主要是经保证金制度为保障，以保证到期兑现。
投资管理 lec3(PPT)
Example
Stock Price at t $10 $20 Price at t+1 $15 $15 Number of shares at t 100 150 Number of shares at t+1 100 150
X Y
Z
$30
Market Indices, P. Peterson 16
Problem, continued
Which of the following indicates the priceweighted average, value-weighted index, and unweighted (geometric) index, respectively for t+1? A. 32.4; 1450; 1097 B. 27.33; 142.5; 1010 C. 32.4; 1450; 1010 D. 27.33; 145; 1097 Correct answer = A See *
Market Indices
What are market indices?
Summary measure of movements or levels of a market of securities. Barometer of changes in market valuation.
Market Indices, P. Peterson
$18
200
400
Stock Z split 2:1 between t and t+1
Market Indices, P. Peterson
6
AssetAllocationDecision(资产定价上海交大,蔡明
Children’s college
•Short-term: House Car
•Consolidation Phase •Spending Phase
•Long-term:
Gifting Phase
Retirement
•Long-term:
•Short-term:
Estate Planning
•Vacations
•Short-term:
•Children’s College
Lifestyle
Needs Gifts
•Age
PPT文档演模板
AssetAllocationDecision(资产定价上 海交大,蔡明
Life Cycle Investment Goals
PPT文档演模板
AssetAllocationDecision(资产定价上 海交大,蔡明
Individual Investor Life Cycle
n Accumulation phase – early to middle years of working career
n Consolidation phase – past midpoint of careers. Earnings greater than expenses
PPT文档演模板
AssetAllocationDecision(资产定价上 海交大,蔡明
Financial Plan Preliminaries
Insurance
n Life insurance
n Term life insurance - Provides death benefit only. Premium could change every renewal period
CFA特许金融分析师-CFA三级-新手入门-AssetAllocation
CFA特许金融分析师-CFA三级-新手入门-AssetAllocation共享题干题Megan Beade and Hanna Müller are senior analysts for a large,（江南博哥） multi-divisional money management firm. Beade supports the institutional portfolio managers, and Müller does the same for the private wealth portfolio managers.Beade reviews the asset allocation in Exhibit 1, derived from a mean–variance optimization (MVO) model for an institutional client, noting that details of the MVO are lacking.The firm’s policy is to rebalance a portfolio when the asset class weight falls outside of a corridor around the target allocation. The width of each corridor is customized for each client and proportional to the target allocation. Beade recommends wider corridor widths for high-risk asset classes, narrower corridor widths for less liquid asset classes, and narrower corridor widths for taxable clients with high capital gains tax rates.One client sponsors a defined benefit pension plan where the present value of the liabilities is $241 million and the market value of plan assets is $205 million. Beade expects interest rates to rise and both the present value of plan liabilities and the market value of plan assets to decrease by $25million, changing the pension plan’s funding ratio.Beade uses a surplus optimization approach to liability-relative asset allocation based on the objective functionU_m^LR=E(Rs,m) -0.005λσ2(Rs,m)where E(Rs,m) is the expected surplus return for portfolio m, λ is therisk aversion coefficient, and σ2(Rs,m) is the variance of the surplus return. Beade establishes the expected surplus return and surplus variance for three different asset allocations, shown in Exhibit 2. Given λ = 1.50, she chooses the optimal assetmix.Client Haunani Kealoha has a large fixed obligation due in 10 years. Beade assesses that Kealoha has substantially more funds than are required to meet the fixed obligation. The client wants to earn a competitive risk-adjusted rate of return while maintaining a high level of certainty that there will be sufficient assets to meet the fixed obligation.In the private wealth area, the firm has designed five subportfolios with differing asset allocations that are used to fund different client goals over a five-year horizon. Exhibit 3 shows the expected returns and volatilities of the subportfolios and the probabilities that the subportfolios will exceed an expected minimum return. Client Luis Rodríguez wants to satisfy two goals. Goal 1 requires a conservative portfolio providing the highest possible minimum return that will be met at least 95% of the time. Goal 2 requires a riskier portfolio that provides the highest minimum return that will be exceeded at least 85% of thetime.Müller uses a risk parity asset allocation approach with a client’sfour–asset class portfolio. The expected return of the domestic bond asset class is the lowest of the asset classes, and the returns ofthe domestic bond asset class have the lowest covariance with other asset class returns. Müller estimates the weight that should beplaced on domestic bonds.Müller and a client discuss other approaches to asset allocation that are not based on optimization models orgoals-based models. Müller makes the following comments to the client:Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]1.The asset allocation in Exhibit 1 most likely resulted from a mean–variance optimization using:A.historical data.B.reverse optimization.C.Black–Litterman inputs.正确答案：A参考解析：The allocations in Exhibit 1 are most likely from an MVO model using historical data inputs. MVO tends to result in asset allocations that are concentrated in a subset of the available asset classes. The allocations in Exhibit 1 have heavy concentrations infour of the asset classes and no investment in the other four asset classes, and the weights differ greatly from global market weights. Compared to the use of historical inputs, the Black–Litterman and reverse-optimization models most likely would be less concentrated in a few asset classes and less distant from the global weights. Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]2.For clients concerned about rebalancing-relatedtransactions costs, which of Beade’s suggested changes in thecorridor width of the rebalancing policy is correct? The change with respect to:A.high-risk asset classes.B.less liquid asset classes.C.taxable clients with high capital gains tax rates.正确答案：A参考解析：Theoretically, higher-risk assets would warrant a narrow corridor because high-risk assets are more likely to stray from the desired strategic asset allocation. However, narrow corridors will likely result in more frequent rebalancing and increased transaction costs, so in practice corridor width is often specified to be proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs. Her other suggestions are not correct.Less-liquid asset classes should have a wider, not narrower, corridor width. Less-liquid assets should have a wider corridor to avoid frequent rebalancing costs. For taxable investors, transactionstrigger capital gains in jurisdictions that tax them. For such investors, higher tax rates on capital gains should be associatedwith wider (not narrower) corridor widths.Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]3.Based on Beade’s interest rate expectations, the pension plan’s funding ratio will:A.decrease.B.remain unchanged.C.increase.正确答案：A参考解析：The original funding ratio is the market value of assets divided by the present value of liabilities. This plan’s ratio is $205 million/$241 million = 0.8506. When the assets and liabilities both decrease by $25 million, the funding ratio will decrease to $180 million/$216 million = 0.8333.Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]4.Based on Exhibit 2, which portfolio provides the greatest objective function expected value?A.Portfolio 1B.Portfolio 2C.Portfolio 3正确答案：B参考解析：Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]5.The asset allocation approach most appropriate for client Kealoha is best described as:A.a surplus optimization approach.B.an integrated asset–liability approach.C.a hedging/return-seeking portfolios approach.正确答案：C参考解析：The hedging/return-seeking portfolios approach is best for this client. Beade should construct two portfolios, one that includes riskless bonds that will pay off the fixed obligation in 10 years and the other a risky portfolio that earns a competitive risk-adjusted return. This approach is a simple two-step process of hedging the fixed obligation and then investing the balance of the assets in a return-seeking portfolio.Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]6.Based on Exhibit 3, which subportfolios best meet the two goals expressed by client Rodríguez?A.Subportfolio A for Goal 1 and Subportfolio C for Goal 2.B.Subportfolio B for Goal 1 and Subportfolio C for Goal 2.C.Subportfolio E for Goal 1 and Subportfolio A for Goal 2.正确答案：A参考解析：Goal 1 requires a success rate of at least 95%, and Subportfolio A has the highest minimum expected return (2.05%) meeting this requirement. Goal 2 requires the highest minimum expected return that will be achieved 85% of the time. Subportfolio C meets this requirement (and has a minimum expected return of 3.26%). Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]7.In the risk parity asset allocation approach that Müller uses, the weight that Müller places on domestic bonds should be:A.less than 25%.B.equal to 25%.C.greater than 25%.正确答案：C参考解析：In this example, there are four asset classes, and the variance of the total portfolio is assumed to be 25%; therefore, using a risk parity approach, the allocation to each asset class is expected tocontribute (1/4 × 25%) = 6.25% of the total variance. Because bonds have the lowest covariance, they must have a higher relative weightto achieve the same contribution to risk as the other asset classes. Comment 1：An advantage of the “120 minus your age” heuristic over the 60/40 stock/bond heuristic is that it incorporates an age-based stock/bond allocation.Comment 2:The Yale model emphasizes traditional investments and a commitment to active management.Comment 3:A client’s asset allocation using the 1/N rule depends on the investment characteristics of each asset class.[单选题]8.Which of Müller’s comments about the other approaches to asset allocation is correct?ment 1ment 2ment 3正确答案：A参考解析：Comment 1 is correct because the “120 minus your age”rule reduces the equity allocation as the client ages, while the60/40 rule makes no such adjustment. Comments 2 and 3 are not correct. The Yale model emphasizes investing in alternative assets (such as hedge funds, private equity, and real estate) as opposed to investing in traditional asset classes (such as stock and bonds). The 1/N rule allocates an equal weight to each asset without regard to its investment characteristics, treating all assets as indistinguishablein terms of mean returns, volatility, and correlations.Meg and Cramer Law, a married couple aged 42 and 44, respectively,are meeting with their new investment adviser, Daniel Raye. The Laws have worked their entire careers at Whorton Solutions (WS), a multinational technology company. The Laws have two teenage children who will soon begin college.Raye reviews the Laws’ current financial position. The Laws have an investment portfolio consisting of$800,000 in equities and $450,000 in fixed-income instruments. Raye notes that 80% of the equity portfolio consists of shares of WS. The Laws also own real estate valued at $400,000, with $225,000 in mortgage debt. Raye estimates the Laws’ pre-retirement earnings from WS have a total present value of $1,025,000. He estimates the Laws’future expected consumption expenditures have a total present valueof $750,000.The Laws express a very strong desire to fund their children’s college education expenses, which have an estimated present value of $275,000. The Laws also plan to fund an endowment at their alma mater in 20 years, which has an estimated present value of $500,000. The Laws tell Raye they want a high probability of success funding the endowment. Raye uses this information to prepare an economic balance sheet for the Laws.In reviewing a financial plan written by the Laws’ previous adviser, Raye notices the following asset class specifications.Equity: US equities;Debt: Globalinvestment-grade corporate bonds and real estate;Derivatives:Primarily large-capitalization foreign equities.The previousadviser’s report notes the asset class returns on equity and derivatives are highly correlated. The report also notes the asset class returns on debt have a low correlation with equity andderivative returns.Raye is concerned that the asset allocation approach followed by the Laws’ previous financial adviser resultedin an overlap in risk factors among asset classes for the portfolio. Raye plans to address this by examining the portfolio’s sensitivityto various risk factors, such as inflation, liquidity, and volatility, to determine the desired exposure to each factor.Raye concludes thata portfolio of 75% global equities and 25% bonds reflects an appropriate balance of expected return and risk for the Laws with respect to a 20-year time horizon for most moderately important goals. Raye recommends the Laws follow a goals-based approach to asset allocation and offers three possible portfolios for the Laws to consider. Selected data on the three portfolios are presented in Exhibit1.Raye uses a cost–benefit approach to rebalancing and recommends thatglobal equities have a wider rebalancing range than the other asset classes.[单选题]ing the economic balance sheet approach, the Laws’economic net worth is closest to:A.$925,000.B.$1,425,000.C.$1,675,000.正确答案：A参考解析：Economic net worth is equal to total economic assets minus total economic liabilities ($2,675,000 – $1,750,000 = $925,000).[单选题]ing an economic balance sheet, which of the Laws’current financial assets is most concerning from an asset allocation perspective?A.Equities.B.Real estate.C.Fixed income.正确答案：A参考解析：The Laws’ equity portfolio is heavily concentrated in WS stock (80% of the equity portfolio), and both Laws work at WS. Should WS encounter difficult economic circumstances, the investment value of WS stock and the Laws’ human capital are both likely to beadversely affected. Thus, their investment in WS should be reviewed and their equity portfolio diversified further.[单选题]11.Raye believes the previous adviser’s specification for debt is incorrect given that, for purposes of asset allocation, asset classes should be:A.diversifying.B.mutually exclusive.C.relatively homogeneous.正确答案：C参考解析：In order to effectively specify asset classes for the purpose of asset allocation, assets within an asset class should be relatively homogeneous and have similar attributes. The previous adviser’s specification of the debt asset class includes global investment-grade corporate bonds and real estate. This definition results in a non-homogeneous asset class.[单选题]12.Raye believes the previous adviser’s asset class specifications for equity and derivatives are inappropriate given that, for purposes of asset allocation, asset classes should be:A.diversifying.B.mutually exclusive.C.relatively homogeneous.正确答案：A参考解析：For risk control purposes, an asset class should be diversifying and should not have extremely high expected correlations with other classes. Because the returns to the equity and the derivatives asset classes are noted as being highly correlated, inclusion of both asset classes will result in duplication of risk exposure. Including both asset classes is not diversifying to the asset allocation.[单选题]13.To address his concern regarding the previous adviser’s asset allocation approach, Raye should assess the Laws’ portfolio using:A.a homogeneous and mutually exclusive asset class–based risk analysis.B.a multifactor risk model to control systematic risk factors in asset allocation.C.an asset class–based asset allocation approach to construct a diversified portfolio.正确答案：B参考解析：Raye believes the Laws’ previous financial adviser followed an asset allocation approach that resulted in an overlap in risk factors among asset classes. A multifactor risk model approach can be used to address potential risk factor overlaps. Risk factor approaches to asset allocation focus on assigning investments to the investor’s desired exposures to specified risk factors. These methods are premised on the observation that asset classes often exhibit some overlaps in sources of risk.[单选题]14.Based on Exhibit 1, which portfolio best meets the Laws’education goal for their children?A.Portfolio 1B.Portfolio 2C.Portfolio 3正确答案：A参考解析：Portfolio 1 best meets the Laws’ education goal for their children. The estimated present value of the Laws’ expected education expense is $275,000. Given that the children will be starting college soon, and the Laws have a very strong desire to achieve this goal, Portfolio 1, which stresses liquidity and stability, is most appropriate to meet the Laws’ short-term education goal.[单选题]15.Based on Exhibit 1, which portfolio best meets the Laws’goal to fund an endowment for their alma mater?A.Portfolio 1B.Portfolio 2C.Portfolio 3正确答案：B参考解析：Portfolio 2 best meets the Laws’ goal to fund an endowment for their alma mater in 20 years. In present value terms, the gift is valued at $500,000, with the Laws desiring a high probability of achieving this goal. Although slightly more conservative than the75/25 global equity/bond mix, Portfolio 2 has a greater growth emphasis compared with Portfolios 1 and 3. Therefore, Portfolio 2 is best for funding the endowment at their alma mater given the goal’s long-term horizon and the Laws’ desire for a high probability of achieving it.[单选题]16.Raye’s approach to rebalancing global equities isconsistent with:A.the Laws’ being risk averse.B.global equities’ having higher transaction costs than other asset classes.C.global equities’ having lower correlations with other asset classes.正确答案：B参考解析：Using the cost–benefit approach, higher transaction costs for an asset class imply wider rebalancing ranges. Raye’s recommendation for a wider rebalancing range for global equities is consistent with the presence of higher transaction costs for global equities.Elsbeth Quinn and Dean McCall are partners at Camel Asset Management (CAM). Quinn advises high-net-worth individuals, and McCall specializes in retirement plans for institutions.Quinn meets with Neal and Karina Martin, both age 44. The Martins plan to retire at age 62. Twenty percent of the Martins’ $600,000 in financial assets is held in cash and earmarked for funding their daughter Lara’s university studies, which begin in one year. Lara’s education and their own retirement are the Martins’ highest-priority goals. Last week, the Martins learned that Lara was awarded a four-year full scholarship for university. Quinn reviews how the scholarship might affect the Martins’ asset allocation strategy.The Martins have assets in both taxable and tax-deferred accounts. For baseline retirement needs, Quinn recommends that the Martins maintain their current overall 60% equity/40% bonds (± 8% rebalancing range) strategic asset allocation. Quinn calculates that given current financial assets and expected future earnings, the Martins could reduce future retirement savings by 15% and still comfortably retire at 62. The Martins wish to allocate that 15% to a sub-portfolio with the goal of making a charitable gift to their alma mater from their estate. Although the gift is a low-priority goal, the Martins want the sub-portfolio to earn the highest return possible. Quinn promises to recommend an asset allocation strategy for the Martins’aspirational goal.Next, Quinn discusses taxation of investments with the Martins. Their interest income is taxed at 35%, and capital gains and dividends are taxed at 20%. The Martins want to minimize taxes.Based on personal research, Neal makes the following twostatements:Statement 1: The after-tax return volatility of assets held in taxable accounts will be less than the pre-tax return volatility.Statement 2: Assets that receive more favorable tax treatment should be held in tax-deferred accounts.The equity portion of the Martins’ portfolios produced an annualized return of 20% for the past three years. As a result, the Martins’ equity allocation in both their taxable and tax-deferred portfolios has increased to 71%, with bonds falling to 29%. The Martins want to keep the strategic asset allocation risk levels the same in both types of retirement portfolios. Quinn discusses rebalancing; however, Neal is somewhat reluctant to take money out of stocks, expressing confidence that strong investment returns will continue.Quinn’s CAM associate, McCall, meets with Bruno Snead, the director of the Katt Company Pension Fund (KCPF). The strategic asset allocation for the fund is 65% stocks/35% bonds. Because of favorable returns during the past eight recession-free years, the KCPF is now overfunded. However, there are early signs of the economy weakening. Since Katt Company is in a cyclical industry, the Pension Committee is concerned about future market and economic risk and fears that the high-priority goal of maintaining a fully funded status may be adversely affected. McCall suggests to Snead that the KCPF might benefit from an updated IPS. Following a thorough review, McCall recommends a new IPS and strategic asset allocation.The proposed IPS revisions include a plan for short-term deviations from strategic asset allocation targets. The goal is to benefit from equity market trends by automatically increasing (decreasing) the allocation to equities by 5% whenever the S&P 500 Index 50-day moving average crosses above (below) the 200-day moving average.[单选题]17.Given the change in funding of Lara’s education, the Martins’ strategic asset allocation would most likely decrease exposure to:A.cash.B.bonds.C.equities.正确答案：A参考解析：The changing character of liabilities through time affectsthe asset allocation to fund those liabilities. The Martins’investment horizon for some of their assets has changed. The amount of liquidity needed for Lara’s near-term education has been greatly reduced owing to the receipt of the scholarship. The Martins will likely still have to pay for some university-related expenses; however, a large part of the $120,000 in cash that is earmarked for Lara’s expenses can now be allocated to the Martins’ long-term goal of early retirement. Retirement is 18 years away, much longer than the one- to five-year horizon for university expenses. Therefore, the Martins’ allocation to cash would likely decrease.[单选题]18.The most appropriate asset allocation for the Martins’new charitable gift sub-portfolio is:A.40% equities/60% bonds.B.70% equities/30% bonds.C.100% equities/0% bonds.正确答案：C参考解析：The Martins’ sub-portfolio is aspirational and a low priority. Investors are usually willing to take more risk on lower-priority, aspirational portfolios. The charitable gift will be made from their estate, which indicates a long time horizon. In addition, the Martins want the highest return possible. Therefore, the highest allocation to equities is most appropriate.[单选题]19.Which of Neal’s statements regarding the taxation of investments is correct?A.Statement 1 only.B.Statement 2 only.C.Both Statement 1 and Statement 2.正确答案：A参考解析：Taxes alter the distribution of returns by both reducing the expected mean return and muting the dispersion of returns. The portion of an owner’s taxable assets that are eligible for lower tax rates and deferred capital gains tax treatment should first be allocated to the investor’s taxable accounts.[单选题]20.Given the Martins’ risk and tax preferences, the taxable portfolio should be rebalanced:A.less often than the tax-deferred portfolio.B.as often as the tax-deferred portfolio.C.more often than the tax-deferred portfolio.正确答案：A参考解析：The Martins wish to maintain the same risk level for both retirement accounts based on their strategic asset allocation. However, more frequent rebalancing exposes the taxable asset owner to realized taxes that could have otherwise been deferred or even avoided. Rebalancing is discretionary, and the Martins’ also wish to minimize taxes. Because after-tax return volatility is lower thanpre-tax return volatility, it takes larger asset-class movements to materially alter the risk profile of a taxable portfolio. This suggests that rebalancing ranges for a taxable portfolio can be wider than those of a tax-exempt/tax-deferred portfolio with a similar risk profile; thus, rebalancing occurs less frequently.[单选题]21.During the rebalancing discussion, which behavioral bias does Neal exhibit?A.Framing bias.B.Loss aversion.C.Representative bias.正确答案：C参考解析：Representative, or recency, bias is the tendency to overweight the importance of the most recent observations and information relative to a longer-dated or more comprehensive set of long-term observations and information. Return chasing is a common result of this bias, and it results in overweighting asset classes with strong recent performance.[单选题]22.Given McCall’s IPS recommendation, the most appropriate new strategic asset allocation for the KCPF is:A.40% stocks/60% bonds.B.65% stocks/35% bonds.C.75% stocks/25% bonds.正确答案：A参考解析：McCall recommends a new IPS. Changes in the economic environment and capital market expectations or changes in the beliefs of committee members are factors that may lead to an altering of the principles that guide investment activities. Because the plan is now overfunded, there is less need to take a higher level of equity risk. The Pension Committee is concerned about the impact of future market and economic risks on the funding status of the plan. Katt Company operates in a cyclical industry and could have difficulty makingpension contributions during a recession. Therefore, a substantial reduction in the allocation to stocks and an increase in bonds reduce risk. The 40% stocks/60% bonds alternative increases the allocationto bonds from 35% to 60%. Increasing the fixed-income allocation should moderate plan risk, provide a better hedge for liabilities,and reduce contribution uncertainty.[单选题]23.The proposal for short-term adjustments to the KCPF asset allocation strategy is known as:A.de-risking.B.systematic tactical asset allocation.C.discretionary tactical asset allocation.正确答案：B参考解析：Using rules-based, quantitative signals, systematictactical asset allocation (TAA) attempts to capture asset-class-level return anomalies that have been shown to have some predictability and persistence. Trend signals are widely used in systematic TAA. Amoving-average crossover is a trend signal that indicates an upward (downward) trend when the moving average of the shorter time frame,50 days, is above (below) the moving average of the longer time frame, 200 days.。
Finance lect3
A competitive market must also be a normal market
18
Expected Returns in Competitive Markets
All investment opportunities that trade in a competitive market with the same risk and maturity must have the same expected return
12
Risk Premium
The additional return investors expect to compensate them for the risk of taking on a risky investment opportunity
13
No Arbitrage Price of a Risky Security
Another Example
Consider security B that pays off $600 if the economy is weak and nothing if it is strong
What price does B sell for? What is B’s expected return?
YES!
26
Perpetuity
A certain (constant) cashflow forever (e.g. a consol bond). What is the present value of a perpetuity with cashflow C forever?
资产负债管理系统简介
资产负债管理系统简介一、导读提醒本章简介旳资产负债管理系统是企业2023年12月V2.0设计产品（V1.0为2023年设计产品）, 体现了企业反思2023年西方金融风暴起因、防备金融风险旳最新理论研究成果。
重新设计旳资产负债管理系统最突出特点是: 以巴塞尔新资本协议第一、第二、第三支柱规定、银监会《商业银行资本充足率审查评估要素及措施》等监管规定为根据, 从银行发展战略及高管角度, 构建起可操作旳银行全面风险管理框架。
二、系统简述资产负债管理是在世界金融自由化浪潮旳冲击下, 尤其是90年代中后期迅速发展并占据主流地位旳现代商业银行经营管理措施。
敏感性测试、市值分析、情景模拟、组合管理等先进旳管理思想和技术不停发展, 使得资产负债管理体系深入完善, 并逐渐成为现代商业银行经营管理框架旳关键内容。
概括地说, 目前西方银行业较为通行旳资产负债管理措施和技术有如下四种:一是基础旳风险度量措施――缺口及敏感性分析；二是动态旳、前瞻旳度量措施情景分析和压力测试；三是风险旳管理技术表内调整和表外对冲；四是组合管理技术资金转移计价和风险调整资本收益率等。
这些措施和技术由简朴到复杂, 由单一到组合, 充足展现了西方商业银行风险管理旳思想轨迹和技术演变过程。
现代商业银行旳资产负债管理体系是一种复杂旳系统:第一, 它规定建立由银行高级管理人员和重要业务部门负责人构成资产负债管理委员会, 负责制定资产负债管理政策、确定内部资金定价原则、审查市场风险状况、并对风险偏好、风险敞口调整、业务方略选择等有关事项做出决策。
第二, 它规定建立专门旳资产负债管理团体来承担详细旳政策实行、风险计量和管理运作。
第三, 它规定建立一种包括识别风险种类、确定风险限额、评估风险收益、调整风险敞口、选择业务方略、配置经济资本、考核风险绩效等一系列环节在内旳顺畅旳管理流程。
第四, 它必须以科学旳分析措施、先进旳管理工具和有效旳管理手段为支柱。
第五, 它充足体现了银行全面风险管理框架旳总体思绪及实行手段旳最终效果, 从某种意义上说, 金融风险管理失控, 就是金融企业资产负债管理失控。
2017-2018 CFA L3 考纲变动对比
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determine whether an asset manager’s practices and procedures are consistent with the Asset Manager Code;
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原Reading 17. Asset Allocation
Reading 17. Principles of Asset Allocation Reading 18. Asset Allocation wth Real-World
Constraints
uo.n 育 固定收益
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原Reading 20. Fixed-Income Portfolio Management—Part I 原Reading 21. Relative-Value Methodologies for Global Credit Bond Portfolio Management 原Reading 22. Fixed-Income Portfolio Management—Part
READING 4. ASSET MANAGER CODE OF PROFESSIONAL CONDUCT
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explain the purpose of the Asset Manager Code and the benefits that may accrue to a firm that adopts the Code;
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explain the ethical and professional responsibilities required by the six General Principles of Conduct of the Asset Manager Code;
ch05THE ASSET ALLOCATION DECISION(投资学,赖利)
Spending Phase
Usually begins at retirement Saving before, prudent spending now Living expenses covered by Social Security and retirement plans Changing emphasis toward preservation of capital, but still want investment values to keep pace with inflation
Gifting Phase
Can be concurrent with spending phase If resources allow, individuals can now use excess assets to provide gifts to other individuals or organizations Estate planning becomes important, especially tax considerations
Managing Risk
Since risk drives expected return, investing involves managing risk rather than managing return.
Risk Management Strategies
Risk Avoidance
The Portfolio Management Process
4. Monitor and update
Revise policy statement as needed Monitor changing financial and economic conditions Evaluate portfolio performance Modify portfolio investments accordingly
如何评估企业的资本配置效率
如何评估企业的资本配置效率一、协议关键信息1、评估目的：明确评估企业资本配置效率的目标和用途。
为决策提供依据：帮助企业管理层制定战略规划、投资决策和资源分配方案。
衡量绩效：评估企业在资本运用方面的绩效表现，与同行业或竞争对手进行比较。
发现问题与改进：识别资本配置中存在的低效率环节，提出改进措施和优化建议。
2、评估指标：详细列举用于评估资本配置效率的各项指标。
投资回报率（ROI）：计算企业投资所产生的收益与投资成本之间的比率。
资产回报率（ROA）：衡量企业资产创造利润的能力。
经济增加值（EVA）：考虑资本成本后的企业剩余收益。
资金周转率：反映资金在企业运营中的流转速度。
3、评估方法：描述采用的评估方法和分析技术。
财务分析：通过对企业财务报表的深入研究和数据计算。
行业比较：与同行业其他企业的资本配置效率指标进行对比。
案例研究：选取典型企业进行详细剖析，总结成功经验和教训。
4、数据来源：说明用于评估的数据获取途径和可靠性。
企业内部财务数据：包括财务报表、预算报告和财务分析文件。
行业报告和统计数据：来自专业机构、行业协会发布的权威数据。
5、评估周期：确定评估的时间间隔和频率。
定期评估：每年或每季度进行一次全面评估。
重大决策前评估：在企业进行重大投资、并购等活动前进行专项评估。
6、评估结果应用：阐述评估结果的运用方式和影响范围。
战略调整：根据评估结果调整企业的发展战略和业务布局。
绩效考核：将资本配置效率纳入管理层和相关部门的绩效考核体系。
7、责任与权限：明确参与评估的各方的职责和权力。
评估团队：负责数据收集、分析和报告撰写。
管理层：提供必要的支持和资源，审核评估结果并做出决策。
8、保密条款：规定评估过程中涉及的数据和信息的保密要求。
二、协议正文11 引言本协议旨在规范和指导对企业资本配置效率的评估工作，确保评估的科学性、客观性和准确性，为企业的发展提供有价值的决策支持。
111 背景随着市场竞争的加剧和企业规模的扩大，合理配置资本成为企业实现可持续发展的关键。
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5. In this lecture we will decompose the analysis of the asset allocation problem into two separate problems (a) What is the optimal portfolio of risky assets? • That is, what combination of risky assets should we hold? (b) How should we distribute our wealth between this optimal risky portfolio and the risk-free asset? • We’ll look at the second part first! – it just works out easier that way
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We still need to answer the question of which risk-return combination along the Capital Allocation Line is optimal
• To answer this we need to bring the utility function back into the picture • Before getting into the math, is it possible to get some intuition on what were trying to do?
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Introduction
1. The goal of this lecture is to understand asset-allocation • Specifically mean-variance portfolio analysis • Developed by Harry Markowitz in the early 1960’s – won the 1990 Nobel Prize in Economics – this work was the first step in the development of modern finance 2. The portfolio or asset allocation problem • How much of your wealth should you invest in each security?
Let’s go back to the example • Again assuming that we can only select one of the investments, which should we choose? – to answer this question we need to introduce preferences over risk and return – as a starting point we’ll assume people like high E(˜r) and low σ(˜r) ∗ that is, we’ll assume people are risk averse
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Allocating Capital Between Risky and Risk-free Assets
• In the last section we 1. Developed a measure of risk (σ, or σ2) 2. Quantified the tradeoff between risk and return with a utility function 3. Determined how to choose between the risky and safe asset • Of course, we don’t usually have a binary choice like this – we can hold a portfolio of risky and risk-free assets
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Framework
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3. Finally, we need to determine if this is a reasonable amount of risk for the extra expected return we would earn • To do this we need to quantify our attitudes towards risk and return, or preferences
• Though this advice is intuitively compelling it’s wrong! – Or is it?
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4. We now know that the optimal portfolio of risky assets is the same for everyone • In the sense that the risky part of individuals’ portfolios should agree, no matter their tolerances for risks • One big caveat: labor income should be included as an asset in the analysis – we’re going to just ignore that for now • Investors should control the risk of their portfolio – through the split between risky and risk-free assets ∗ that is, not by reallocating among risky assets • The portfolio of risky assets that investors hold should contain a large number of assets – i.e., it should be well diversified
Lecture 3 Asset Allocation
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Outline
Introduction Determine the Investor’s Risk Tolerance Allocating Capital Between Risky and Risk-Free Assets Allocating Capital among Risky Securities A Note on Diversification Conclusions
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6. Note: These results are derived under some fairly strong assumptions (a) Either • All returns are normally distributed • Or investors only care about means and variances (standard deviations) of returns (b) All assets are tradable • Again, labor income; we’re implicitly assuming it’s tradable (not a good assumption) (c) No transaction costs • We will discuss some of the implications of relaxing these assumptions
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3. This is an area that we have come to understand much better in the last thirty years • Before Markowitz’s mean-variance analysis became known, an investment advisor would have given you advice like – If you are young you should be putting money into a couple of good growth stocks, maybe even into a few small stocks. Now is the time to take risks. – You’d also hear: if you’re close to retirement, you should be putting all of your money into bonds and safe stocks, and nothing into the risky stocks – don’t take risks with your portfolio at this stage in your life.
• Need to determine how to build an optimal portfolio of risky and riskfree assets (assuming one risky asset)
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In the next section we will show that even if we have many risky assets there is an optimal portfolio of risky assets that all investors should prefer • Because of this property of two-fund separation our general problem will be to 1. Find the optimal portfolio of risky securities 2. Find the best combination of the risk-free asset and this optimal risky portfolio • We’ll consider part (2) first