CFA三级写作课后题（2020.12）4.pdf

2020 年12 月CFA 三级写作题 ASSET ALLOCATION AND RELATED DECISIONS IN PORTFOLIO MANAGEMENT 今年由于疫情的缘故，CFA 考试被迫延期。虽然给了大家更多的复习时间，但也不可掉 以轻心。近年来，CFA 考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。 相比2019 年考纲，2020 年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市 场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大 的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向 是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个 Reading 重新编写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全 面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA 答疑等活 动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA 三级考试，加油！ 1-12 Asset Allocation and Related Decisions in Portfolio Management Case 1: John Tomb 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: The resulting MVO statistics for the two asset allocations are presented in Exhibit 1. Exhibit 1 MVO Portfolio Statistics Allocation A Allocation B Expected return 6.7% 5.9% Expected standard deviation 11.9% 10.7% Determine which allocation in Exhibit 1 Tomb should recommend to Youngmall. Justify your response. Determine which allocation in Exhibit 1 Tomb should recomme