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Sam · 2022年09月11日

考点

* 问题详情,请 查看题干

NO.PZ201805280100000401

问题如下:

Discuss two reasons why the proposed asset allocation is inappropriate for Titan.

选项:

解释:

The proposed asset allocation for Titan is not appropriate because:

1 Given the shift in enrollment trends and declining donations resulting from the sanctions, Titan will likely need greater liquidity in the future because of the increased probability of higher outflows to support university operations. The proposed asset allocation shifts Titan’s allocation into risky assets (increases the relative equity holdings and decreases the relative bond holdings), which would introduce greater uncertainty as to their future value.

2 Titan is relatively small for the proposed addition of private equity. Access to such an asset class as private equity may be constrained for smaller asset owners, such as Titan, who may lack the related internal investment expertise. Additionally, the Sun-Fin Private Equity Fund minimum investment level is $1 million. This level of investment in private equity would be 10% of Titan’s total portfolio value. Given Titan’s declining financial position due to declining enrollments and its resulting potential need for liquidity, private equity at this minimum level of investment is not appropriate for Titan.

想确认一下,这题和下一题都是考核constraints吗,但是看到依照根据fund的状况来判投资选择的时候,又感觉有点像考察goal-based 一样(长期的可以多投风险高的,短期的支出需求大的要投流动性好的,风险低的)。但又想到机构投资者一般不用goal-based approach。 心里有点矛盾。

1 个答案

lynn_品职助教 · 2022年09月12日

嗨,努力学习的PZer你好:


是的,这两道题都是在考察constraints的知识点,题目来源是Reading 7 ■ Asset Allocation with Real-World Constraints的课后题。

首先这个reading偏向应用,所以确实会有这种在考察之前的知识点的感觉,长期的可以多投风险高的,短期的支出需求大的要投流动性好的,风险低。

现在离2月考试还有充足的时间,同学对知识点的掌握已经很好了,做这类型的题目在粗略地定位知识点后,更重要的是读题干信息,找到出题人的意图。越是综合性应用型的题目越是如此,继续加油,有问题我们接着讨论。


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加油吧,让我们一起遇见更好的自己!

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