Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA > Modules 6-8
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions

Browse Open Actuarial Jobs

Life  Health  Casualty  Pension  Entry Level  All Jobs  Salaries


Reply
 
Thread Tools Search this Thread Display Modes
  #181  
Old 03-23-2018, 02:03 AM
Gigigigi Gigigigi is offline
SOA
 
Join Date: Mar 2018
Posts: 4
Default

Hi All!!!

I get confused again For those who passed, did you construct an investment policy like the sample investment policy?

I am not sure what the target mix / adverse market target / optimistic market target really does... Are we just including them as runs / scenarios in our testing? Does the recommended optimal asset mix has to be the target mix?

HELP!!! Thank you!!!!
Reply With Quote
  #182  
Old 03-23-2018, 02:13 PM
Sir Issac's Avatar
Sir Issac Sir Issac is offline
Member
SOA
 
Join Date: Jun 2014
Posts: 388
Default

Quote:
Originally Posted by Gigigigi View Post
Hi All!!!

I get confused again For those who passed, did you construct an investment policy like the sample investment policy?

I am not sure what the target mix / adverse market target / optimistic market target really does... Are we just including them as runs / scenarios in our testing? Does the recommended optimal asset mix has to be the target mix?

HELP!!! Thank you!!!!
The only difference I had between the 3 market scenarios was equity limit.

I set a different equity limit for for adverse and optimistic market scenarios and the target was somewhere in between (assumption is that current market is neither adverse or optimistic)

I used my risk /return metric to determine the best allocation for each market scenario and the optimal mix I suggested was the target mix.

I did provide a table that is the same exact format as the sample investment table
Reply With Quote
  #183  
Old 03-23-2018, 09:07 PM
Gigigigi Gigigigi is offline
SOA
 
Join Date: Mar 2018
Posts: 4
Default

Quote:
Originally Posted by Sir Issac View Post
The only difference I had between the 3 market scenarios was equity limit.

I set a different equity limit for for adverse and optimistic market scenarios and the target was somewhere in between (assumption is that current market is neither adverse or optimistic)

I used my risk /return metric to determine the best allocation for each market scenario and the optimal mix I suggested was the target mix.

I did provide a table that is the same exact format as the sample investment table
Thanks! Does that mean you only tested 4 scenarios? (3 market scenarios + target mix).
Reply With Quote
  #184  
Old 03-24-2018, 10:13 AM
Sir Issac's Avatar
Sir Issac Sir Issac is offline
Member
SOA
 
Join Date: Jun 2014
Posts: 388
Default

Quote:
Originally Posted by Gigigigi View Post
Thanks! Does that mean you only tested 4 scenarios? (3 market scenarios + target mix).
Target mix is one of the 3 market scenarios.

Adverse market, optimistic market, and the target market

For each market I tested about 6 different scenarios of asset mixes
Reply With Quote
  #185  
Old 03-25-2018, 01:05 PM
tito87 tito87 is offline
SOA
 
Join Date: Jan 2014
Location: Quebec City, Canada
Studying for FA
Posts: 21
Default Target Mix Task 2

For the target Mix :

1)The first step is to set an equity limit to get the target mix ?
2) How did you set a limit for equity ?
3 ) Did you take an assumption by your own judgment + the objectives of CDEF ?
4) we can set a number equal for equity 10 %, 15 % or 20 % .... ?
How to set an exactly number that it fits with the objectives of CDEF ? !



Quote:
Originally Posted by Sir Issac View Post
The only difference I had between the 3 market scenarios was equity limit.

I set a different equity limit for for adverse and optimistic market scenarios and the target was somewhere in between (assumption is that current market is neither adverse or optimistic)

I used my risk /return metric to determine the best allocation for each market scenario and the optimal mix I suggested was the target mix.

I did provide a table that is the same exact format as the sample investment table
__________________
Exams: P | FM | MFE | MLC | C
FAP: EMO1 | EMO2 | EMO3 | EMO4 | IA | EMO6 | EMO7 |FA
VEE: Econ | Corp Fin | Stat
APC

ERM Module
ERM Exam
Reply With Quote
  #186  
Old 03-25-2018, 06:36 PM
Sir Issac's Avatar
Sir Issac Sir Issac is offline
Member
SOA
 
Join Date: Jun 2014
Posts: 388
Default

Quote:
Originally Posted by tito87 View Post
For the target Mix :

1)The first step is to set an equity limit to get the target mix ?
2) How did you set a limit for equity ?
3 ) Did you take an assumption by your own judgment + the objectives of CDEF ?
4) we can set a number equal for equity 10 %, 15 % or 20 % .... ?
How to set an exactly number that it fits with the objectives of CDEF ? !
Yes I simply set a number randomly. I think I chose 5-10% equity in adverse market, and 20-25% in optimistic market and target mix somewhere in between. And explained why we need low equity in general, see this comment http://www.actuarialoutpost.com/actu...&postcount=173
Reply With Quote
  #187  
Old 03-25-2018, 07:17 PM
tito87 tito87 is offline
SOA
 
Join Date: Jan 2014
Location: Quebec City, Canada
Studying for FA
Posts: 21
Default Asset mix

To get the asset mix, it seems doing these steps :

1) Minimized the return metric ( for example : mean or another metric ))
I got some set of portfolios asset mix
For examples combinaisons selected ( 3, 5, 7, 9)

2) Minimized the risk metric (for example : CTE or another metric ) for these combinaisons selected ( 3, 5, 7, 9) selected in the step 1.

Note : For portfolio with equal CTE , I chose the portfolio with minimum another risk metric ( for example: standard deviation or another risk metric)

Is that ok ?

Quote:
Originally Posted by Sir Issac View Post
Yes I simply set a number randomly. I think I chose 5-10% equity in adverse market, and 20-25% in optimistic market and target mix somewhere in between. And explained why we need low equity in general, see this comment http://www.actuarialoutpost.com/actu...&postcount=173
__________________
Exams: P | FM | MFE | MLC | C
FAP: EMO1 | EMO2 | EMO3 | EMO4 | IA | EMO6 | EMO7 |FA
VEE: Econ | Corp Fin | Stat
APC

ERM Module
ERM Exam

Last edited by tito87; 03-25-2018 at 08:32 PM..
Reply With Quote
  #188  
Old 03-25-2018, 09:14 PM
arto83 arto83 is offline
Member
SOA
 
Join Date: May 2005
Location: New York
College: Brooklyn College Alum
Posts: 537
Default

Quote:
Originally Posted by Sir Issac View Post
Yes I simply set a number randomly. I think I chose 5-10% equity in adverse market, and 20-25% in optimistic market and target mix somewhere in between. And explained why we need low equity in general, see this comment http://www.actuarialoutpost.com/actu...&postcount=173
Such low equity mix? I thought you ended up with 50%+ equities in target?
Or was that ao fan or someone else?
__________________
ASA

Chuck Norris...
...is allowed to talk about Fight Club.
...lost both his legs in a car accident....and still managed to walk it off.
...understands the ending of 2001: A Space Odyssey.
...really DOES find gold when he picks his nose.
...is a stunt double for Optimus Prime.
...can dribble a football.
...can sneeze with his eyes open.
...CAN lick his elbow.
...can judge a book by its cover.
Reply With Quote
  #189  
Old 03-25-2018, 09:37 PM
ao fan's Avatar
ao fan ao fan is offline
Member
 
Join Date: Apr 2007
Location: hating the ao
Posts: 102,186
Blog Entries: 1
Default

Quote:
Originally Posted by arto83 View Post
Such low equity mix? I thought you ended up with 50%+ equities in target?
Or was that ao fan or someone else?
nope, not me. mine was also pretty low.
__________________
Be prepared to be overwhelmed by cuteness!!!!
Spoiler:
awesome, crazy, badass maltese (compliments of booger):
Spoiler:
Reply With Quote
  #190  
Old 03-26-2018, 05:56 AM
arto83 arto83 is offline
Member
SOA
 
Join Date: May 2005
Location: New York
College: Brooklyn College Alum
Posts: 537
Default

Quote:
Originally Posted by ao fan View Post
nope, not me. mine was also pretty low.
Damn. DNMMR. 2 and 4 I thirnk I set a minimum. Bond or treasury instead of maximum equity. Gonna switch to that and also to mean/cte. I used sharpe ratio
Wonder if ending up with 55% equities was simply to high.
When you guys capped equities at say 20nto 30% did you write that the ratio resulted in the maximum value at 100% equities but that is unfeasible due to the requirements of the fund. As such a maximum target of say 30% is more reasonable?
Quote:
Originally Posted by Sir Issac View Post
I noticed this too. Andy risk/return metric I used, the highest equity portfolio had the best result
Wonder if I missed this post. Regardless. I'm not seeing any reports of MMR with sharpe ratio so I think I'm changing that metric this time...

Did you guys set min treasuries? I am seeing best ratio with no treasuries ( i guess since the ratio like most return with all equities. so capping equities means it wants more bonds).
__________________
ASA

Chuck Norris...
...is allowed to talk about Fight Club.
...lost both his legs in a car accident....and still managed to walk it off.
...understands the ending of 2001: A Space Odyssey.
...really DOES find gold when he picks his nose.
...is a stunt double for Optimus Prime.
...can dribble a football.
...can sneeze with his eyes open.
...CAN lick his elbow.
...can judge a book by its cover.

Last edited by arto83; 03-26-2018 at 08:47 AM..
Reply With Quote
Reply

Tags
cdef, fa task 2, final assesment

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 12:46 AM.


Powered by vBulletin®
Copyright ©2000 - 2018, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.21440 seconds with 9 queries