NO.PZ202206210100000206
问题如下:
Using Exhibit 2, which of the sub-portfolio allocations is most likely to meet both of Sebastian’s goals?选项:
A.The current sub-portfolio allocation B.A 43% allocation to sub-portfolio BY and a 57% allocation to sub-portfolio CZ C.A 37% allocation to sub-portfolio BY and a 63% allocation to sub-portfolio CZ解释:
SolutionC is correct. Sebastian needs to adjust the sub-portfolio allocation to achieve her goals. By adjusting the allocations to 37% × $2,900,000 = $1,073,000 in BY and 63% × $2,900,000 = $1,827,000 in CZ, she will be able to achieve both of her goals based on the confidence intervals.
Goal 1: Sebastian needs to maintain her current living expenditure of $120,000 per year over 20 years with a 90% probability of success. Inflation is expected to average 2.5% annually over the time horizon.
Sub-portfolio CZ should be selected because it has a higher expected return (5.70%) at the 90% probability for the 20-year horizon. Although sub-portfolio CZ has an expected annual return of 7.10%, based on the 90% probability of success requirement, the discount factor is 5.70%.
Goal 1: k = 5.70%; g = 2.50%.
Determine the inflation-adjusted annual cash flow generated by sub-portfolio CZ:
Goal 2: Sebastian wants to contribute $1,500,000 to a charitable foundation in 10 years with an 85% probability of success.
Sub-portfolio BY should be selected because it has a higher expected return (3.60%) at the 85% probability for the 10-year horizon. Although sub-portfolio BY has an expected annual return of 5.70%, based on the 85% probability of success requirement, the discount factor is 3.60%.
Goal 2: k = 3.60%.
Determine the amount needed today in sub-portfolio BY:
A is incorrect: 40% × $2,900,000 = $1,160,000 in BY, and 60% × $2,900,000 = $1,740,000 in CZ.
Goal 1: k= 5.70%; g = 2.50%.
Determine the inflation-adjusted annual cash flow generated by sub-portfolio CZ:
Goal 2: k = 3.60%.
Determine the amount needed today in sub-portfolio BY:
Goal 1 is not realized because the inflation-adjusted annual payment is below $120,000.
Goal 2 is realized
B is incorrect: 43% × $2,900,000 = $1,247,000 in BY, and 57% × $2,900,000 = $1,653,000 in CZ.
Goal 1: k = 5.70%; g = 2.50%.
Determine the inflation-adjusted annual cash flow generated by sub-portfolio CZ:
Goal 2: k = 3.60%.
Determine the amount needed today in sub-portfolio BY:
Goal 1 is not realized because the inflation-adjusted annual payment is below $120,000.
Goal 2 is realized.
请问goal 1的折现率是否为I/Y=【(1+5.7%)/( 1+2.5%)】-1=3.12%