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cqzzer · 2019年10月31日

问一道题:NO.PZ2018110601000039 这个题与No.PZ2018011501000006重复

问题如下:

In the private wealth area, the firm has designed five sub-portfolios with differing asset allocations that are used to fund different client goals over a five-year horizon. Exhibit 1 shows the expected returns and volatilities of the sub-portfolios and the probabilities that the sub-portfolios will exceed an expected minimum return. Client Luis Rodríguez wants to satisfy two goals. Goal 1 requires a conservative portfolio providing the highest possible minimum return that will be met at least 95% of the time. Goal 2 requires a riskier portfolio that provides the highest minimum return that will be exceeded at least 85% of the time.

                      Exhibit 1 Characteristics of Sub-portfolios


                     Minimum Expected Return for Success Rate


Based on Exhibit 1, which subportfolios best meet the two goals expressed by client Rodríguez?


选项:

A.

Subportfolio A for Goal 1 and Subportfolio C for Goal 2.

B.

Subportfolio B for Goal 1 and Subportfolio C for Goal 2.

C.

Subportfolio E for Goal 1 and Subportfolio A for Goal 2.

解释:

A is correct.

Goal 1 requires a success rate of at least 95%, and Subportfolio A has the highest minimum expected return (2.05%) meeting this requirement. Goal 2 requires the highest minimum expected return that will be achieved 85% of the time. Subportfolio C meets this requirement (and has a minimum expected return of 3.26%).

NO.PZ2018110601000039 这个题与No.PZ2018011501000006重复,麻烦后台技术修改一下。

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2019年11月01日

现在 2018110601000039 替换了一道新的题目,谢谢你的提醒。

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NO.PZ2018110601000039 问题如下 Remington anMontgomery scuss Isabelle Sebastian. ring a recentconversation, Sebastian, a long-term client with a $2,900,000 investmentportfolio, reminRemington thshe will soon turn age 65 anwants toupte her investment goals follows:Go1: Over the next 20 years, she nee to maintainher living expentures, whiare currently $120,000 per ye(90% probabilityof success). Inflation is expecteto average 2.5% annually over the timehorizon, anwithawals take plathe beginning of the year, startingimmeately.Go2: In 10 years, she wants to nate $1,500,000 in nomintermsto a charitable fountion (85% probability of success).Exhibit 2 provisthe tails of the two sub-portfolios, inclung Sebastian’s allocation to thesub-portfolios anthe probabilities ththey will exceethe expecteminimumreturn.Exhibit 2 Investment Sub-Portfolios Minimum ExpecteReturnfor Success Rate Assume 0% correlation betweenthe time horizon portfolios.UsingExhibit 2, whiof the sub-portfolio allocations is most likely to meet bothof Sebastian’s goals? A.The current sub-portfolio allocation. A 43% allocation to sub-portfolio ana 57%allocation to sub-portfolio CZ. C.A 37%allocation to sub-portfolio ana 63% allocation to sub-portfolio CZ. C is correct.Go1 关键词90% probability of success,20 years。通过查表,选择portfolio,minimum expectereturn=5.7%。5.7%是名义利率,当前每年生活费$120,000会以2.5%的通货膨胀率增长,所以实际利率=(1+5.7%)/(1+2.5%)-1=3.12%.(近似法5.7%-2.5%=3.2%也可行,计算结果影响不大。)计算CZ的PV由于第一笔现金流发生在0时刻,所以要使用计算器BGN模式输入N=20, I/Y=3.12, FV=0,PMT=120,000,得出PV=1,820,738.Go2 关键词85% probability of success,10 years。通过查表,选择portfolio,minimum expectereturn=3.6%。计算BY的PV将期末的$1.5m折到0时刻,得出PV=1,500,000/1.03610=1,053,158。CZ占比1,820,738 / 2,900,000=62.78%BY占比1,053,158 / 2,900,000=36.32%所以最接近 Go2 用先付年金还是后附年金? why? N=10, FV=1,500,000, PMT=0, I/Y=3.6

2022-08-14 13:30 1 · 回答

NO.PZ2018110601000039 问题如下 Remington anMontgomery scuss Isabelle Sebastian. ring a recentconversation, Sebastian, a long-term client with a $2,900,000 investmentportfolio, reminRemington thshe will soon turn age 65 anwants toupte her investment goals follows:Go1: Over the next 20 years, she nee to maintainher living expentures, whiare currently $120,000 per ye(90% probabilityof success). Inflation is expecteto average 2.5% annually over the timehorizon, anwithawals take plathe beginning of the year, startingimmeately.Go2: In 10 years, she wants to nate $1,500,000 in nomintermsto a charitable fountion (85% probability of success).Exhibit 2 provisthe tails of the two sub-portfolios, inclung Sebastian’s allocation to thesub-portfolios anthe probabilities ththey will exceethe expecteminimumreturn.Exhibit 2 Investment Sub-Portfolios Minimum ExpecteReturnfor Success Rate Assume 0% correlation betweenthe time horizon portfolios.UsingExhibit 2, whiof the sub-portfolio allocations is most likely to meet bothof Sebastian’s goals? A.The current sub-portfolio allocation. A 43% allocation to sub-portfolio ana 57%allocation to sub-portfolio CZ. C.A 37%allocation to sub-portfolio ana 63% allocation to sub-portfolio CZ. C is correct.Go1 关键词90% probability of success,20 years。通过查表,选择portfolio,minimum expectereturn=5.7%。5.7%是名义利率,当前每年生活费$120,000会以2.5%的通货膨胀率增长,所以实际利率=(1+5.7%)/(1+2.5%)-1=3.12%.(近似法5.7%-2.5%=3.2%也可行,计算结果影响不大。)计算CZ的PV由于第一笔现金流发生在0时刻,所以要使用计算器BGN模式输入N=20, I/Y=3.12, FV=0,PMT=120,000,得出PV=1,820,738.Go2 关键词85% probability of success,10 years。通过查表,选择portfolio,minimum expectereturn=3.6%。计算BY的PV将期末的$1.5m折到0时刻,得出PV=1,500,000/1.03610=1,053,158。CZ占比1,820,738 / 2,900,000=62.78%BY占比1,053,158 / 2,900,000=36.32%所以最接近 不是应该用expectereturn 来折现吗?解题中,为啥用了90%概率和85%概率对应的return?

2022-08-03 23:02 3 · 回答

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2022-07-22 22:08 2 · 回答

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2022-07-20 18:20 1 · 回答

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2022-07-11 14:53 1 · 回答