8.145 = 8.0w + 8.2(1 – w)
w = 0.275
1 – w = 0.725
(weights become 0.25 and 0.75 if return requirement is rounded to 8.15%)
In addition to achieving the return requirement, the appropriate combination of Corner
Portfolios 4 and 5:
• has the highest Sharpe ratio among the efficient portfolios that meet Lourie’s
requirements
• is consistent with Lourie’s specified risk tolerance (less than 15% standard deviation)
• is efficient (lies on efficient frontier)
ii. The most appropriate strategic asset allocation for the Lourie Foundation should be
determined as follows:
Weight (%),
Asset Class Weight (%),
return requirement
return
requirement
= 8.1%
= 8.145%
= 8.15%
U.K. Equities 54.4 = (53.2 + 55.6)/2 54.94 = (53.2)(0.275)
Bạn đang xem 8. - L3 MOCK SAMPLE EXAM CFA LEVEL III GUIDELINE ANSWERS 2005