Craig A. Sloss

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CAS Exam 9 Study Notes: Optimal Capital Allocation

2019-02-24

My study notes on optimal capital allocation are now available. These notes address how a mathematical formulation of an investor's risk tolerance can be translated into an optimal allocation of capital between a risky portfolio and a risk-free asset can be determined. (The topic of how to determine the components of the risky portfolio are a separate note.) These notes are based on Chapter 6 of the textbook Investments by Bodie, Kane, and Marcus, and correspond to learning objective A1 on the CAS Exam 9 syllabus.

Keywords: Actuarial Science, Study Note, Exam 9

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