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Financeп???亯???φIIISessionContentStudySessionStudySession3StudySession4StudySession5StudySession6StudySessionStudyStudySessionStudySessionStudySessionStudySession16&PROFESSIONAL(1)&(2)BEHAVIORALFINANCEMARKET??INPORTFOLIOMANAGEMENTMANAGEMENT??FIXED-INCOMEPORTFOLIOMANAGEMENTPORTFOLIOMANAGEMENTINVESTMENTSPORTFOLIOMANAGEMENT??MANAGEMENT??PORTFOLIOMANAGEMENTFOR??TRADING,PERFORMANCEMANAGER??PORTFOLIOMANAGEMENTRISKMANAGEMENT???SS3:zR7TheFinancezR8TheBiasesofIndividualszR9FinanceandProcesses7Decision–&zatall&zofofrisks–RationalityAssumes:Assumes:onzonzoror&zas???zaasof.ofaszzaasaorasorztheazzreturn.ofonutility.aoraazztoanoraaofofaataloss.8Individuals2007AM2008AM2011AM2012AMbiasesasoforalloroninformationrationallackcapacityorinformationso.zbias.orzbias.orlookororzbias.onBelieferrorszillusionorofazHindsightbias.aaszadjustment.ofaaanorprocessingerrorszbias.ofonto.zbias.aaquestionbasedonthewhichiszbias.aaoforaofanonbiasesofaofasorzzbias.asAofonbias.ofzPredictionCertaintyofzSelf-attributionbias,ofself-protectingbias,allonorbias.ofofaofself-anofbias.anofaartlookzzzzbias.anaaatbias.oftryofassetmadetobiasesoraccommodatethem.Goals-based?Lookingtheportfolioifitathebottomofthepyramidisconstructedandiscomprisedofassets&&designatedtomeetmostimportantgoals.Oncethisfoundationisconstructed,themovestothesuccessivemoveupthepyramidconsistsofincreasinglyriskyassetsusedtomeetlessandlessimportgoals.?thewealthiertheclient,themoreherbiasescanbeaccommodated.?cognitiveshouldbeandemotionalbiasesshouldbeaccommodated.?Althoughfromefficientfrontierperspectivetheportfolioprobablywon'tendupefficient,itwilltobefairlywelldiversified.?Theclient'swealthshouldbedeterminedbyconsideringtoThelowertheclient'soflivingrisk,thetheclient'seffectiveandthetheabilitytoaccommodatebiases.aEmotional?changes?changesof?5to10%assetclass?10to15%assetclassriskLow?noof?changes?0to3%assetclass?5to10%assetclassrisk?Emotionalbiasesoftenaccommodatedtherationalassetallocation.?therational?Theemotionalbiasesofthelower-wealthindividualaboutthesameasthebiasesoftheindividual.?Theamountofalsobythenumberofassetclassesthe?Thetherationalassetallocation,thethetothebiases.zDuetosignificantofthebiasesofthelow-wealthbe20182018--GuidelineAnswer:Question4-C?hasahighoflivingrisk.Andherquestionnairethatherpotentialbiasis?BeechprovidesJohnwithamean-varianceoptimizedportfolio.Basedonoflivingriskandhispotentialbias,Beechalsoproducesamodifiedportfolio.Theassetclassweightsofthemodifiedportfoliodifferthoseoftheoptimizedportfolioby+/о10%.Beechthentheprocesspreparingbothamean-varianceoptimizedportfolioandamodifiedportfolio.Determinetheamountbywhichtheassetclassweightsofportfolioswill(circleone)lessthan+/о10%equalto+/о10%than+/о10%Justifyresponse.20182018--GuidelineAnswer:Question4-C?Thedecisiontooradapttoaclient’sbiasesdependsontwofactors:theoflivingrisk/levelofwealth(highorlow)andthetypeofbias(emotionalorcognitive).?withahighoflivingrisk,isriskoffailingtoachievehergoals,soherbehaviorallymodifiedportfolioshouldbeclosertoamean-varianceoptimizedInaddition,becauseheriscognitiveinformationcanhelptocorrectit(i.e.,moderatingthebiasismoretobesuccessful).Assuch,withtheappropriateeducation,shouldbeabletoherbehaviorandaportfoliothatmorecloselymatchesarational(mean-varianceoptimized)allocation.Thiswouldleadtoaportfoliowithlessthana+/о10%differenceinherassetclassweightstotherationalallocation.9?Developedin1987andclassifiesintoonlytwotypes:passiveandactive.zPassivethosewhonothadtorisktheirowntowealth.theymightwealththroughlong,employmentanddisciplinedsavingorthroughinheritance.Asaresultofaccumulatingwealththeytobemoreriskandaneedforsecuritythantheir"active"counterparts.zActiverisktheirowntowealthandusuallyactiveroleintheirownActivemuchlessriskthanpassiveandwillingtogiveupsecuritycontrolovertheirownwealthcreation.BB&K1?Developedin1986,classifiesalongtwodimensionsaccordingtohowtheyapproachlifeingeneral.?Thedimension,confidence,identifiesthelevelofconfidenceusuallywhentheindividualdecisions.Confidencelevelcanrangefromconfidenttoanxious.?Theseconddimension,methodofaction,measurestheindividualsapproachtodecisionmaking.fromcarefultoimpetuous.ConfidentImpetuousStraightarrowBB&K2?Confidentandimpetuous.?hold?Confidentand?toowndecisionsaftercarefulanalysis.portfolios.?tochances.?toowndecisions.?to?finddifficulttowork?Goodworkbecauseandprocessinformation??confidentnoranxious.?carefulnotimpetuous.?torisk?and?Concernedwiththefutureandassets.?theadviceofsomeoneasthanCelebrityreturn.?Anxiousandimpetuous.?opinionsbut?andadviceaboutGeneraltypePassiveActiveRiskHighConservativeAggressiveBiastypesCognitiveCognitivePassive(PP)FriendlyFollower(FF)Individualist(II)IndependentActiveAccumulator(AA)biasCognitivebiasquoOverconfidenceself-attributionHindsightConservatismofandConfirmationRisktoleranceDecisionmakingLow?oninofzasaszaszasAdateaofon?NaivediversificationasamongofzAccordingaastockandbondallocated50/50.astockandbalancedallocated50/50.zconditionalnaivediversification.asmallernumberofandallocatecasesomemotivatedavoidamountsofnotmiss?concentrationinemployerstockveryriskyasretirementperformancenowcompensationatancouldonfamiliarityandoverconfidence.zEmployeesmay"Iknowcompanyandeveryagood?pastperformancehasgoodandyouarethatwouldnaiveextrapolationofpastresults.Framingandstatusquoeffectofmatchingcontributionsasemployer'scontributionmadeemployerstock.zsuchcasesemployeesincreaseamountchoseplaceemployerstock.Loyaltyeffectaholdemployerstockasaof?Whenfinancialincentivesareemployeremployerstock,mayareofwhatcan?ofofzasorselfselectionasatzadispositioninon??aaazasof?Inonlow-risk,ztopofoforztopofofof9ofasworkof9ofandBehavioralFinancebiasesthat?asaofanofzIllusionofknowledgebias?asoion?atsg"oavioatao.zIllusionofcontrolbiasallor?yeormationsaadorallAydokasaofof?z,anseaofaonweaalit)oo.zbilitybisayudebiasesinodt.?Theconfirmationbiasconfirmingevidence)informationasconfirmationofanoriginalforecast.zuazHindsightbiaszon?Thegambler'sfallacy,terms,thatalong-meanmorethanactuallyhappens.?Arepresentativebiasoneanalystinaccuratelypastdata?investmentdecisionsmadeinagroupsetting?Socialproofbiasiswhenapersonfollowsthebeliefsofagroup(i.e.,groupthink).hasshownthattheinvestmentdecisionmakingprocessinagroupsettingisnotoriously?typicallycomprisedofpeoplewithsimilarbackgroundsand,thus,theyapproachproblemsinthesame?TheremedyisforcommitteestothefollowingzComprisedofindividualswithdiversebackgrounds.zMemberswhonottotheiropinionsifitdiffersfromothers.zAcommitteechairwhoencouragesmemberstospeakoutevenifthemember'sviewscontrarytothegroup'sviews.zAmutualrespectallmembersofthegroup.BehavioralFinanceandBehavior?Inefficientable?Onceisitfullyprices.?ainmispricinganomalMomentum?Aiswithamomentumeffect.whichitbecomeswithmean.?Herdingisininthem.zavailabilitybias(a.k.a.biasandof?isisa.thinkingaparticularleadinfuelsaFinancial?periodsselling,economic?AisperiodpriceszAainpricesaperiodmuch-Biases?Theredifferenttypesofbehaviorthatevidentduringbubbles.zusuallyexhibitoverconfidence,leadingtotradingandunderestimatingtheriskinvolved.zOverconfidenceistotheconfirmationbias,inwhichlookevidencethatconfirmstheirbeliefsandignoreevidencethatcontradictstheirbeliefs.zSelfattributionbiasisalsopresentwhenpersonalcreditthesuccessoftheirzHindsightbiasispresentwhenthelookshackwhathappenedandknewitallalong."zRegretaversionispresentwhendoesnottomissingoutonalltheeveryoneelseseemstobeenjoying.zThedispositioniswhenmorewillingtosellwinnersandholdontolosers,leadingtothetradingofwinningstocks.?Asthebubbleunwindsintheearlyanchoredtotheirbeliefs,causingthemtounder-reactbecausetheyunwillingtoacceptlosses.Astheunwindingcontinues,thedispositiondominatesholdontolosingstocksinefforttopostpone?stockslowprice-to-earningsratios,highbook-to-marketandlowprice-to-dividendratios,withgrowththeopposite?andfoundthatzstockshistoricallyoutperformedstocks;zsmall-capitalizationstocksoutperformedlarge-caps.Bias?Haloeffect,thecompanyintothinkingthatthestockisagoodzThisis-aformofrepresentativenessinwhichperformanceintofuturereturns,leadingstockstobecomeovervalued.?Thehomebiasonetheircomparedtocountries.tocompaniesthatclosertothe)onofonlessheldbyideasmightlimitperformance.?θ?у?????⊿??└у???從?侾???????ぁ?ぁ??從??仇??????????θ???????θ????????????????????ф???????????z??????從??????????θ???????φ9?????????9????δж??????ε9?從??〇?δ???〇?θ???ㄖ?????ε?享?9???從??????????z????????φacademic.support@????????ぁ?????θ???ж??侾???????????????????從?侾??δ????ε?andп???亯???φ1-73IIISessionContentStudySessionStudySession3StudySession4StudySession5StudySession6StudySessionStudyStudySessionStudySessionStudySessionStudySession15Study&PROFESSIONAL(1)&(2)MARKET??ASSETANDDECISIONSINPORTFOLIOMANAGEMENTMANAGEMENT??PORTFOLIOMANAGEMENT(1)&(2)PORTFOLIOMANAGEMENTFORPORTFOLIOMANAGEMENT??MANAGEMENT(1)&(2)??PORTFOLIOMANAGEMENTFOR??TRADING,PERFORMANCEMANAGER??INPORTFOLIOMANAGEMENTRISKMANAGEMENT??2-73?SS5:AssetAllocationandRelatedDecisionsinManagementzR12:OverviewofAssetAllocationzR13:PrinciplesofAssetAllocationzR14:AssetAllocationwithConstraintsAssetAllocationandDecisionsinPortfolioManagement3-73124-731.governance2.balanceFramework3.Assetallocationapproaches??Concept?Assetclassspecification?4.asset?Asset??Goalbased5.6.considerations5-73Governance—The?Purpose:ensurethatthepolicies,procedures,andgovernancestructureseffective.?by:independentthirdparty?GoodgovernancezEnsuresthedurabilityorsurvivabilityofthe9Avoiddecision-reversalrisk9Considertheeffectofinvestmentcommitteememberandturnoveronthedurabilityoftheinvestment9personriskzAssuresaccountability6-73sheetaclient2.?balancesheetzConventional/FinancialassetsandliabilitieszAdditional/Extendedassetsandliabilities9inmakingassetallocationdecisionsbutnotappearonconventionalbalancesheetsAssetsLiabilitiesNetworthFinancialliabilitiesassetsequityassetsoffuturecontributionsShort-termborrowingliabilitiesoffuturesupportNetEconomicnetworth7-73Asset?toassetallocationzAsset-only:Mean–varianceoptimization(MVO)9focussolelyontheassetsideofthebalancesheetzLiability-relative:Fundingliabilities9providethemoneytoliabilitieswhentheycomedue9Liability-driven(LDI)isinvestmentindustrythatgenerallyencompassesassetallocationthatisfocusedonfundingliabilitieszGoals-based:Achievingthegoals9specifyassetallocationssub-portfolios,eachofwhichisalignedtospecifiedgoalsrangingfromsupportinglifestyleneedstoaspirational9Goals-basedinvesting(GBI)isinvestmentindustrythatencompassestheassetallocationfocusedonaddressinggoals8-73Asset?Liability-relative:DistinctionsbetweenliabilitiesaninstitutionalandgoalsanindividualzLiabilitiesofinstitutionalobligationsordebts,goals,suchmeetingoraspirationalobjectives,not;zinstitutionalliabilities,suchlifeinsurerobligationsorpensionbenefitobligations,uniforminnatureofasingletype),individual’sgoalsbeandzLiabilitiesofinstitutionalofagiventype(e.g.,thepensionbenefitsowedtonumerousandthroughaveraging,oftenbewithconfidence.Incontrast,individualgoalsnotsubjecttothelawofnumbersand;9-73theliability-relative,3.1AssetAllocationRelationtoBalanceSheetObjectiveUsesAssetOwnerMaximizeLiabilitiesorgoalsnotdefinedand/orsimplicityisimportant??funds?IndividualnotSharpeacceptablelevelofexplicitlymodelliabilitiesorgoalsAsset-onlySomefoundations,endowmentsvolatilityFundliabilitiesnotmeetingliabilitieshighModelsandquasi-liabilitiesLiability-and?Banks?Definedbenefitpensions?assetsAchievegoalswithspecifiedprobabilitiesofsuccessGoals-basedModelsgoalsIndividual10-73risktoliability-relative,3.2Concepts?Asset-onlyzPrimarymeasureofrisk:volatilitydeviation)ofportfolioreturnzOtherrisksensitivities:9Riskrelativetobenchmarks:trackingrisk(trackingerror)9Downsiderisk?semi-variance?peak-to-troughmaximumdrawdown?measuresfocusingonthesegmentofthedownside:risk?Liability-relativezShortfallriskzofcontributionsneededtofundliabilities?Goal-basedzMaximumacceptableprobabilityofnotachievingagoal11-73e.assetclassesusedtorepresenttoriskdiscusscriteriaasset3.3AssetClass?CriteriaspecifyingassetclassestheofassetallocationzAssetswithinassetclassshouldberelativelyhomogeneous;zAssetclassesshouldbemutually;zAssetclassesshouldbediversifying;zTheassetclassesagroupshouldupapreponderanceofworldwealth;zAssetclassesinvestmentshouldthecapacitytoabsorbameaningfulproportionofportfolio.12-73?ExampleszInreviewingafinancialplanbythepreviousnoticesthefollowingassetclassspecifications.9Equity:USequities9Debt:Globalinvestment-gradecorporatebondsand9Derivatives:PrimarilyequitieszThepreviousadviser’sreporttheassetclassreturnsonequityandderivativeshighly.Thereportalsotheassetclassreturnsondebtalowcorrelationwithequityandderivativereturns.?believesthepreviousadviser’sspecificationdebtisincorrectgiventhat,purposesofassetallocation,assetclassesshouldbe:A.diversifying.B.mutuallyexclusive.C.relativelyhomogeneous.13-73theuseriskinassettheirrelationtoassetclass–based3.4?Factor-basedassetallocationzModelingusingassetclassestheunitofanalysistoobscurethesensitivitytooverlappingrisk;?assetallocationzSpecifyriskfactorsandthedesiredtoeachfactor;zDescribeassetclasseswithrespecttotheirsensitivitiestoeachofthe;ztotheriskfactor;zMapbackachoiceofriskinfactorspacetoassetclassspaceimplementation;14-733.4?Longpositionsinassetspositions)neededtoisolatetherespectiverisksandassociatedreturnzInflation.Goinglongnominalandshortinflation-linkedbondsisolatestheinflationcomponent.zRealInflation-linkedbondsprovideazVIX(ChicagoOptionsExchangeIndex)futuresprovideaimpliedzCreditGoinglonghigh-qualitycreditandshortbondsisolatescreditzGoinglong10+andshortisolatesthedurationbeing15-733.4?Anadviserisconcernedthattheassetallocationapproachfollowedbyhisclient’spreviousfinancialadviserinoverlapinamongassetclassestheportfolio.hisconcernthepreviousadviser’sassetallocationapproach,heshouldassesshisclient’sportfoliousing:A.ahomogeneousandmutuallyassetclass–basedriskanalysis.B.amultifactorriskmodeltocontrolriskinassetallocation.C.assetclass–basedassetallocationapproachtoconstructadiversifiedportfolio.16-73describetheusetheabaselineinassetallocation?Globalportfoliosumsallassets(globalstocks,bonds,andsoforth)heldbyandreflectsthebalancingofsupplyanddemandacrossworldzMinimizenon-diversifiableriskzTheportfoliothatthemostefficientuseoftheriskbudgetzAsapointahighlydiversifiedportfoliozinvestmentbiases,suchhome-countrybias?Globalmarket-valueweightedportfolioshouldconsideredasabaselineassetallocation.17-73asset?Strategicassetallocation/portfoliozassetallocationthatistobeeffectiveinachievingassetownerinvestmentobjectives,givenhisorherinvestmentconstraintsandrisktolerance,documentedintheinvestmentpolicy?OptimalassetallocationMaximizeUWfW,Z,assetreturndistribution,ofriskaversion)T0ibychoiceofassetclassweightsZin|toZ1ii1?Utilityfunction1zMean-varianceutility:UE(r)OV2pp2?OptimalallocationtotheriskyassetPrf1Z
()OV218-73asset?Anadviseriscounselingaclientwhorecentlyinherited€1,200,000andwhohasrisktolerance?=2).Thebelowshowsassetallocations.AssetAllocationExpectedReturn10.00%DeviationofReturnABC20%10%5%7.00%5.25%?Basedonlyonrisk-adjustedreturnstheassetallocations,whichassetallocationwouldshe19-73asset?Solution:11UsingtheutilityfunctionUE(r)OV2pE(r)u2uV2p=E(r)V2pppp22Theclient’sutilityAssetAllocationsA,andCfollows:U=10.0%-(20%)=6.0%AU=7.0%-(10%)=6.0%BU=5.25%-(5%)=5.0%CTheclientwouldbeindifferentAandBbasedonlyontheircommonperceivedcertainty-equivalentreturnof6%.20-73i(2).discussimplementing5.?Spectrum?influencingtothepassive/activespectrumzinvestments;zScalabilityofactivebeingconsidered;zThefeasibilityofinvestingpassivelywhileincorporatingclient-specificconstraints(e.g.ESGzBeliefsconcerninginformationalefficiency;zThetrade-offofincrementalbenefitsrelativetoincrementalcostsandrisksofactivechoices;z;21-73discussinassetallocations?Rebalancingisthedisciplineofadjustingportfolioweightstomorecloselyalignwiththeassetallocation.?torebalancingzCalendarrebalancing:onaperiodicbasiszrebalancing9pointsorRebalancingrangecorridor)?theportfoliovaluedzThemorefrequentthemonitoring,thetheprecisioninimplementation22-73?FullypartiallycorrectingzRebalancebacktoweightszRebalancetorangeedgezRebalancebetweentherange-edgetriggerpointandtheweight23-73?affectingtheoptimalwidthassetclass(WithoutweighingandbenefitsinthezPositivelytooptimalcorridorwidth9costs:Hightransactioncostssetahighhurdlerebalancingbenefitstoovercome.9Risktolerance:Higherrisktolerancemeanslesssensitivitytodivergencesfromtheallocation.9Correlationwiththeoftheportfolio:Whenassetclassesmoveinsync,furtherdivergencefromweightsislesszInverselytooptimalcorridorwidth9Volatilityoftheoftheportfolio:Highervolatilitydivergencesfromtheassetallocationmore9Anassetownvolatility:Highervolatilitydivergencefromtheassetallocationmore24-73?StrategicconsiderationsConsiderationscostsRisk-aversionRebalancingHighercosts,widerMore,narrowergco,naors,furthdivergencefromislessyAssetclasscorrelationBeliefsinmomentummeannBlieinmomntum,widranges;Meanreversion,nrroIlliquidnvestmentscomplicaterebalancing,commonlywiderrangesLiquiditytilityHighervolatilitydivergencesfromtheassetallocationmorethusnarrowerrangesEncourageasymmetricandwiderrebalancingranges,25%->(24%,28%)25-731726-731.asset-onlyassetallocationsFramework???of?Addressingtheof????Add?Factor-BasedAsset2.assetallocation?Surplus??Asset-LiabilityApproach3.goals-basedassetallocations4.andotherapproaches5.budgetingand27-73?threesetsofinputs:returns,risksdeviations),andwisecorrelationstheassetsintheopportunityset,andtheobjectivefunctionfollows:UE)OV2mmm?Theresomeissuestoconsider:zNon-constraintvsnonegativeweights;9Thesimplestoptimizationplacesnoconstraintsonassetclassweightsthebudgetconstraintthatweightssumto1.9Thenon-negativityconstraintleadstocorner-portfolioEzOnlyriskyassetvsseparatingoutcashandcashequivalentasset(non-constraint).9Cashisriskyasset?risky-assetEF9Cashandcashequivalentrisk-freeassets?linearEF(CML)28-73?StrengthszwidelyusedzBasis?z(assetallocations)highlysensitivetosmallchangesintheinputs;(otherapproaches)zassetallocationstobehighlyconcentratedinasubsettheassetclasses;(otherzconcernedwithassetclassreturnsasandkurtosisthatin(Non-normalzWhileassetallocationsappeardiversifiedassets,ofrisknotbediversified;(Riskbudgeting)znoconnectiontoaffectingliabilityorconsumption;zisasingle-periodframeworkthattrading/rebalancingand29-73?EfficientFrontierAssetAllocationAreaCase30-73?EfficientFrontierAssetAllocationExpectedReturnszIncreasedthereturnofAsiaPacificJapanequitiesfrom8.5%to9.0%anddecreasedthereturnofEuropeUKequitiesfrom8.6%to8.1%31-73Criticisms—?Thereprimaryreasons)practitionerstypicallyapplyadditionalconstraints:zincorporatereal-worldconstraintsintotheoptimizationproblem;zAndtohelpovercomesomeofthepotentialshortcomingsofmean–varianceoptimizationabove(inputinputandhighlyconcentratedallocations).?:Ifaverynumberofconstraintsimposed,oneisnolongeroptimizingbutspecifyingassetallocationthroughaseriesofbindingconstraints.32-73Criticisms—?Criticismsincludingthefollowing:zSomefrontiersconcave“bumps”returnriskincreases;zThe“riskier”assetallocationsover-diversified;zTheassetallocationsinherittheintheoriginalinputs;andzTheapproachlacksaFrontierAssetAllocationAreafoundationintheor33-73?isapowerfulthathelpsexplaintheimpliedreturnsassociatedwithportfolio.Itcanbeusedtoreturnsuseinaforward-lookingoptimization.?asitsinputsasetassetallocationweightsglobalthatassumedtobeandwithadditionalinputsandtheriskcoefficient,solvesreturns(alsocalledimpliedreturns).?willfindthelinkbetweenreverseandCAPMequilibriumelegant.zusetheweightswiththeassetclasses(ortoaworkingversiontheglobal;zAnduseeachassetrelativetoversiontheglobalztowhatreturnswouldbeifallassetspricedbytheCAPMtotheirassumearisk-free2.5%andaglobalriskzRunanew34-73Criticisms——BL?Themodelhashelpedtheframeworkmoreuseful.Itenablestocombinetheiruniqueofreturnswithoptimizedreturnsinzwithreturnsoftherisk-freeproducedfromoptimization;zAndthenprovidesatechniquealteringreverse-optimizedreturnsinsuchathattheyreflectowndistinctiveviews.zAnewisrun.?Derivingreturnsbyoptimizationorbyoptimizationviewsonassetreturns(themodel)isonemeansofthetendencytoefficientportfoliosthatwelldiversified.?optimizationandthemodeladdresstheissueofsensitivitytosmalldifferencesinreturnbyanchoringreturnstothoseimpliedbytheassetclassweightsofatheglobal.35-73Criticisms—?Anormaldistributionisfullyexplainedbythemomentsbecauseandthenormal?variancedeviationisanrisknormallygo(meanandvariance)ofareturnandmomentsandzSkewnessmeasuresthedegreetowhichreturnasymmetricalzKurtosismeasuresthethicknessofthe(i.e.,frequentlyevents?Anumberofvariationsthesebeenthemconsiderthenon-normaldistributionanduseadefinitionofrisk,suchas:zMean–semivariancezMean–conditionalvalue-at-riskzMean–variance-skewnesszMean–variance-skewness-kurtosis36-73?IdentifytheassetinBmighttorelativetoA.zachieveefficientinseveralmightbeenused,Black–Littermanandassetclassweights.37-73Asset-Only:?Factor-basedassetallocationalsosetsofinputs:returns,risksdeviations),andpair-wisecorrelationstheseintheopportunityset,inordertogetoptimizedsolution.zandmoresophisticatedapproachesthatovercomesomeofthelimitationsorweaknessesofappliedtoopportunitysetconsistingoftraditional,non-overlappingassetclasses.zAnalternativeapproachusedbysomepractitionersistomovefromopportunitysetofassetclassestoopportunitysetconsistingoffactors,orfactor-basedassetallocation.38-73Asset-Only:?typicallysimilartothefundamentalstructural)inwidelyusedmulti-factormodels.usedinassetallocationincludevaluation,momentum,durationcredit,andvolatility.zReturnscanbecombinedfromshortinglarge-capstocksandgoinglongsmall-capstocks,factorreturn=Small-capstockreturn–stockzdeviationsthevolatilityofreturn.zPair-wisecorrelationswiththewithgenerallyConstructinginthismannerfromthebecauseoftheshortpositionsthatoffsetlongpositions.39-731.9MCS?Carlobyaddressingtheofasingle-periodframework.?MCScanhelpa,includingthegoals,thedistributionofthroughtime,andpotentialmaximumdrawdowns.?Carlocanwithaissuesthatdifficultorimpossibletoz:Inthemulti-periodtheofandlosses.aspecificSAAswillresultinofpayments.z:moneyinandspendmoneyouttheirinmoreispathdependentbecauseoftheofcashflowsandreturns.40-731.asset-onlyassetallocationsFramework???of?Addressingtheof????Add?Factor-BasedAsset2.assetallocation?Surplus??Asset-LiabilityApproach3.goals-basedassetallocations4.andotherapproaches5.budgetingand41-73?Itinvolvesadaptingasset-onlymean–varianceoptimizationtoefficientfrontierbasedonthevolatilitysurplussubstitutingsurplusreturnassetreturnovergiventimehorizon,allelseequal.zIsaoftheasset-onlyportfoliomodelzTheobjectivefunctionisUOVE(R)0.0052ms,m(Rs,m)zSurplusReturn=(Changeinasset–Changeinliabilityvalue)/(Initialasset?ExpectedandvariancesliabilitieszassumethattheliabilitiesthesamereturnsandvolatilitiesUScorporatebonds;zAnalternativeapproachistodeployasetofunderlyingthatdrivethereturnsoftheassets.42-73?Assetliabilitymanagement(ALM)considerstheallocationofassetswithrespecttoagivenliabilityorsetofliabilities.?TheALMapproachmaximizethedifference(thesurplus)betweenassetsandliabilitieseachlevelofrisk(muchtheefficientfrontierrepresentsthemaximumreturneachlevelofrisk).43-73?Thecomparisonbetweenthetwoasset(asset-onlyandsurpluszTheassetverydifferentontheconservativesideofthefrontiers.9ThemostconservativemixthesurplusefficientfrontierconsistsmostlyoftheUScorporatebondbecauseitresultsinthevolatilityofsurplusoverthehorizon.9Incontrast,themostconservativemixtheasset-onlyefficientfrontierconsistschieflyofcash.zThetwoasset(asset-onlyandsurplus)becomesimilartheofriskdecreases,andtheyidenticalforthemostaggressiveportfolioequity).zBondsdisappearfromthefrontieraboutbetweenthemostconser
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