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Question 1ai)

Please choose one out of the four options.

Consider the following asset allocation:

Asset Classes	Asset Allocation (%)	Global Investable Market Weights (%)
Cash	0	-
US bonds	30	17
US TIPS	0	3
Non-US bonds	0	22
Emerging market equity	25	5
Non-US developed equity	20	29
US small- and mid-cap equity	25	4
US large-cap equity	0	20

This asset allocation most likely resulted from a mean-variance optimisation using:

-reverse optimisation.

-historical data.

-resampled data.

-Black-Litterman inputs.

Question 1aii)

Please choose one out of the four options.

Which one of the following statements is most accurate? The efficient frontier is the set of all attainable risky assets with the:

-lowest expected return relative to the risk-free rate.

-highest expected return per unit of risk.

-lowest amount of risk for a given level of return.

-highest expected return for a given level of risk.

Question 1aiii)

Please choose one out of the four options.

Which of the following policy combinations will most likely to stimulate the economy?

-Loose monetary policy and tight fiscal policy

-Tight monetary policy and tight fiscal policy

-Loose monetary policy and loose fiscal policy

-Tight monetary policy and loose fiscal policy

Question 1aiv)

Please choose one out of the four options.

Based on mean-variance theory, the optimal portfolio is determined by each individual investors:

-risk preference.

-wealth.

-borrowing rate.

-risk-free rate.

Question 1av)

Please choose one out of the four options.

Consider the following information for a given country:

Variable	12/31/2018	12/31/2019	12/31/2020
GDP (index)	129.0	128.5	128.0
Unemployment rate	10.5%	11.0%	11.5%
Capacity utilisation rate	80.5%	80.0%	80.0%

If the country is currently experiencing an output gap, inflation over the next year is expected to:

-decline.

-remain unchanged.

-become more unpredictable.

-accelerate.

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