Fall 2020 CAS Exam 9 Thread

Linking back to the original thread, and continuing on here.

AO CAS Exam 9 Thread

I’m working on Feldblum questions, and one of the Crystal Clear review questions (D12) includes the following assumption:

“Shareholders are used to fund both reserves and surplus.”

How does the presence (or absence) of this assuption affect how you solve the problem? I set it up like I normally would and got her answer (after a couple adjustments), but I’m not sure if that line has any significance or not.

I thought that assumption was implied in all Feldblum IRR problems. Basically you calculate how much money the company has before any shareholder contribution, then the difference between that and the sum of the reserves and surplus is going to be the cash flow to the shareholders.

I’ve worked through the 2011 and 2012 exams now and found them both pretty easy. I think I’m almost ready. My sitting isn’t until December 9th, so I’m just gonna keep doing 1-2 practice exams a week and reviewing flashcards in the meantime. I plan on finishing 2011-2019 past exams before I sit.

I have to say, I kind of like doing the Feldblum-type questions on the computer. But I find that I am constantly fixing typos as I type essay responses, which is slowing me down some. I can’t just ignore them like I do when I write (and I probably make more typos typing).

Yeah once I got used to it, I’ve been enjoying doing the problems in Excel a lot more than on paper. Luckily my years and years of playing computer games have trained me to be able to type very accurately and quickly, so that helps out a lot with the time constraint too.

I am so saddened by the loss of outpost.

Are people using go actuary and not average actuary?

I haven’t been to average actuary, just here. Volume isn’t very high yet - I think we only average 2-4 posts a day for the whole site. Hopefully it will pick up over time.

I think now that the AO is dead, the volume should pick up here.

So if wanted to look up something that was discussed a year ago about exam 9. I can google it and find the link to the exact page (since I know the keywords), but I can’t actually get to the actual page. This is very disheartening…In particular someone outlined all covariance and variance equations to know…

Does anyone have the CAS exams older than 2015 in Excel? TIA only goes as far back as 2015.

I did 2013 - I’ll send it to you.

Awesome thank you!

What section/topic is this from?

Something about investing in one thing at 1/(1-beta) and shorting another at beta/(1-beta).

I thought it was tracking portfolios, but now I am reading that uses beta in the martket and beta-1 in risk-free, so I’m thinking the other formulas are for something else.

are you talking about optimal complete portfolio wa adjustment.

wa = alpha/sigma(e)^2 / E(RM)/ sigmam^2

wa* = wa/ (1 + (1-B) wa)

No, it’s not that.

Found it:

Weight in positive alpha portfolio and the market portfolio to obtain arbitrage opportunity under APT:
w( p ) = 1/(1-beta( p ))
w(M)= -beta( p )/(1-beta( p ))

Where is that?

Isn’t this just the same as saying if you have a portfolio with a positive alpha and zero beta, you can benefit from arbitrage? I don’t think there’s any need to memorize the formulas.

They’ll probably ask how to create the arbitrage, so it depends on whether you can do that from first priniples or not.