In-depth point II examination coaching direct from the CAIA Association
CAIA point II is the respectable learn advisor for the Chartered replacement funding Analyst specialist exam, and an authoritative consultant to operating within the substitute funding sphere. Written by way of the makers of the examination, this publication presents in-depth suggestions throughout the complete examination schedule; the extent II recommendations are almost like point I, yet this time you are going to evaluate them in the course of the lens of danger administration and portfolio optimisation. themes contain asset allocation and portfolio oversight, sort research, possibility administration, substitute asset securitisation, secondary marketplace construction, functionality and elegance attribution and indexing and benchmarking, with transparent business enterprise and a logical development so as to customize your instruction concentration. This new 3rd version has been up to date to align with the newest examination, and to mirror the present practices within the box.
The CAIA designation used to be constructed to supply a standardized wisdom base in the middle of explosive capital influx into substitute investments. This publication offers a single-source repository of that crucial details, adapted to these getting ready for the extent II examination.
- Measure, computer screen and deal with money from a chance administration perspective
- Delve into complex portfolio constructions and optimisation strategies
- Master the nuances of non-public fairness, genuine resources, commodities and hedge funds
- Gain specialist perception into getting ready completely for the CAIA point II exam
The CAIA constitution programme is rigorous and entire, and the designation is globally recognized because the maximum regular in replacement funding schooling. applicants looking thorough instruction and specified motives of all points of other funding want glance no additional than CAIA point II.
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Extra info for Alternative Investments: CAIA Level II
2. 3 Risk Aversion and the Shape of the Utility Function We are now prepared to introduce a more precise definition of risk aversion. An investor is said to be risk averse if his utility function is concave, which in turn means that the investor requires higher expected return to bear risk. 1 displays the log function for various values of wealth. We can see that the level of utility increases but at a decreasing rate. Alternatively, a risk-averse investor avoids taking risks with zero expected payoffs.
As discussed in the CAIA Level I book, the r-squared of the regression tells how much of the variation in the dependent variable can be explained by variations in the independent or explanatory variables. In other words, the BHB study only confirmed that more than 90% of variability in the realized returns of fully diversified portfolios could be explained by the asset allocation decision. More important, it did not say anything about the impact of asset allocation on the average return on those pension funds.
For instance, in the CAIA Level I book, we learned about value at risk (VaR) as a measure of downside risk. Is it possible to use this framework to model preferences in terms of VaR? It turns out that in a rather ad hoc way, one can use the preceding approach to model preferences on risk Asset Allocation Processes and the Mean-Variance Model 15 and return when risk is measured by VaR. 7) Here, λ can be interpreted as the degree of risk aversion toward VaR, and VaRα is the value at risk of the portfolio with a confidence level of α.