1. Strategic Asset Allocation Concepts (Study Session 11)
e) compare and contrast asset-liability and asset-only approaches to strategic asset
allocation;
i) discuss the mean-variance approach to strategic asset allocation, using an investor’s
risk aversion;
l) determine and justify a strategic asset allocation, given an investment policy
statement, capital market expectations, and the results of a mean-variance
optimization.
Guideline Answer:
Part A
i. Corner Portfolios 4 (expected return = 8.2%) and 5 (expected return = 8.0%) should be
included in the optimal strategic asset allocation, given Lourie’s return requirement of
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