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 安氏大俗商业学：一道投资公司招聘资金管理人的面试题目 |
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A basis strategy (No math) -- Tom12 - (1345 Byte) 2005-8-16 周二, 03:31 (575 reads) |
Tom12
头衔: 海归少校
加入时间: 2005/08/16
文章: 33
来自: US
海归分: 11249
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作者：Tom12 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
If 100 is not the population, and assum the correlation of investment opportunities are 0.
Then we should always take advantage of all of the 100 opportunities because the potential return is always positive (18% = 60%*100 +40%*(-100) -2). The question is how to diversify the investment and maximize out total investment at a certain risk level.
If I diversify my investment in n opportunities at a time, there will be n+1 possible outcomes. The possible outcomes is a matrix like this:
[-100%, (n-2)/n*(-100%), (n-4)/n*(-100%), ..., ..., (n-2n)/n*100% ]
The probability of these outcomes is something like this:
[nC0*(40%^n)*(60%^0), n-1C1 40%^(n-1)*60%, …, ..., nCn40%^(0)*60%^n)],
When the n gets large enough, the distribution should be similar to a bell distribution (might not be standard).
If you choose to invest $10 100 opportunities, chances are you get a return close to 18%, given the large n number. If you choose to invest $20 in 50 opportunities, you will deviate a little more from 18%, but you can invest one more time, and probably get a return close to 39% =1.18*1.18. So when N gets smaller and smaller, risk gets higher and higher. Therefore, we need to get a risk budget to control the risk of loss. ( by risk budget I mean setting a 95% or 99% confidence level, how much you can afford to lose).
Use the risk budget and return as X and Y axis. Then, using n as a variable, let n = 2, 3, 4, …, and invest in those portfolios till the opportunities is used up. Calculate the return and risk of different portfolios, and plot their return and risk to get the frontier curve.
The optimum investment portfolio will depend on what criteria to use, expected return only, return/risk, etc.
Sorry for the typo!
作者：Tom12 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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 安氏大俗商业学：一道投资公司招聘资金管理人的面试题目 -- 安普若 - (701 Byte) 2005-8-15 周一, 09:50 (11260 reads) - 搞不懂 -- pchf005 - (3 Byte) 2008-7-15 周二, 14:02 (234 reads)
- 标准答案来了 -- ikonos - (332 Byte) 2005-8-16 周二, 16:02 (1345 reads)
- A basis strategy (No math) -- Tom12 - (1345 Byte) 2005-8-16 周二, 03:31 (575 reads)
- If 100 is not the population, then this strategy( a little bit math) -- Tom12 - (1769 Byte) 2005-8-16 周二, 05:24 (522 reads)
- 标准答案 -- feebe - (253 Byte) 2005-8-15 周一, 21:02 (1311 reads)
- 瞧瞧这广告做的， -- 小报记者 - (24 Byte) 2005-8-15 周一, 21:56 (567 reads)
- 不一样 -- feebe - (0 Byte) 2005-8-16 周二, 00:32 (399 reads)
- 标准答案之一？ -- 坚强的肾 - (204 Byte) 2005-8-15 周一, 15:29 (513 reads)
- 函数 -- king - (398 Byte) 2005-8-15 周一, 12:39 (506 reads)
- 简单解法 -- Lycus - (245 Byte) 2005-8-15 周一, 11:43 (479 reads)
- 胡乱试一下。 -- pirate - (79 Byte) 2005-8-15 周一, 10:17 (390 reads)
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