Asset Allocation - Optimization

CFA Level III
#1

Please match one of the following with the correct description : Mean Variance Analysis, Monte Carlo, Black Litterman, Resampled Efficient Frontier. 1. Overcomes the static nature of typical Mean Variance Analysis. Good to use this method if the sequence of returns matters, where you have substantial amounts of cash coming in and out. 2. Efficient portfolios are graphed on an efficient frontier. Is a static approach, required a substantial number of estimates, which leads to the problem of estimation bias with expected returns. 3. Reverse optimization of expected returns from a global weighted index. Creates a well diversified portfolio, which overcome problems of exp return sensitiveity, and allows for a manager to express views on various allocations. 4. Simulation using mean variance optimization which generates sets of simulated returns and weights of various portfolios. These results are integrated into one frontier, and it is much more diversified and stable than standard Mean Variance Optimization.

#2

1 Monte Carlo 2 Mean Variance Analysis 3 Black Litterman 4 Resampled Efficient Frontier

#3

1 resampled efficient frontier 2 mean variance 3 black litterman 4. Monte carlo approach

#4
  1. Overcomes the static nature of typical Mean Variance Analysis. Good to use this method if the sequence of returns matters, where you have substantial amounts of cash coming in and out. Monte Carlo 2. Efficient portfolios are graphed on an efficient frontier. Is a static approach, required a substantial number of estimates, which leads to the problem of estimation bias with expected returns. Mean Variance 3. Reverse optimization of expected returns from a global weighted index. Creates a well diversified portfolio, which overcome problems of exp return sensitiveity, and allows for a manager to express views on various allocations. Black Litterman 4. Simulation using mean variance optimization which generates sets of simulated returns and weights of various portfolios. These results are integrated into one frontier, and it is much more diversified and stable than standard Mean Variance Optimization. Resample Efficient Frontier
#5

Paul, corrupted…you guys got it.