5.3w = 7.5 w = 1.415
ii. Invest 142% of the portfolio in Gamma. iii. Candidate discussion: This is a capital allocation line question. Blending the risk-free asset with the module that has the highest Sharpe ratio will produce the best CAL. Because the client requires a return higher than Gamma's 6.8% return, leverage will be required. Invest 142% in Gamma and borrow 42% of the portfolio's value. iv. 1 point for selecting Gamma, 1 point for setting up the weight calculation, and 1 point for 142%. v. Delta and Epsilon w(8.9) + (1 - w)(10.2) =
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