A. “ASSET ALLOCATION” (STUDY SESSION 11) M) DISCUSS THE STRUCTURE O...

1. - L3 MOCK SAMPLE EXAM CFA LEVEL III GUIDELINE ANSWERS 2006 1. - L3 MOCK SAMPLE EXAM CFA LEVEL III GUIDELINE ANSWERS 2006
L3 MOCK SAMPLE EXAM CFA LEVEL III GUIDELINE ANSWERS 2006
1. A. “Asset Allocation” (Study Session 11) m) discuss the structure of the minimum-variance frontier with a constraint against short sales; n) determine and justify a strategic asset allocation, given an investment policy statement and capital market expectations. 2006 Level III Guideline Answers Morning Session - Page 20

Question: 7 Topic: Portfolio Management – Institutional Asset Allocation Minutes: 9 Guideline Answer: Part A Corner portfolios 3 and 4 are the portfolios that will be used to interpolate the most appropriate strategic asset allocation. Part B Using the corner portfolio theorem and the expected returns for corner portfolio 3 of 10.3% and corner portfolio 4 of 9.1%.