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简ying · 2019年07月19日

想问下，收益率怎么确定是单利复利，为啥不用In（209万\200万）算出4.4%

  1. CFA I
  2. Quantitative

问题如下图：想问下，收益率怎么确定是单利复利，为啥不用In（209万\200万）算出4.4%

选项：

A.

B.

C.

解释：

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1 个答案

污叫兽 · 2019年07月20日

同学你好~探讨一下我的理解~

答案中给的RL是shortfall risk，而不是持有期收益率~RL是指客户投资组合的最低期望回报率，那么，答案中也说了，低于RL的资产恐怕会有碍组合的整体表现~大概客户是要告辞了~

下面就是套公式了~safety-first ratio 越大的组合配置越优，计算在答案中有呈现，B最大~

至于你提到的单利复利问题，本题不涉及，在求其他具体收益率的时候可能会用到。单利年化是按360天计算，复利年化按365天计算，一般也会直接给出条件，毕竟主要是为了求收益率~

简ying · 2019年07月20日

谢谢

污叫兽 · 2019年07月20日

不必客气 一起加油

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