开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Spencer · 2022年12月28日

老师可以解释一下37%和63%是如何计算的吗？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

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：

Solution

C 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:

$1,827,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$120,432.04>$120,000

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:

$1,500,000 1+0.036 10 =$1,053,158.42<$1,073,000

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:

$1,740,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$114,697.18<$120,000

Goal 2: k = 3.60%.

Determine the amount needed today in sub-portfolio BY:

$1,500,000 1+0.036 10 =$1,053,158.42<$1,160,000

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:

$1,653,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$108,962.32<$120,000

Goal 2: k = 3.60%.

Determine the amount needed today in sub-portfolio BY:

$1,500,000 1+0.036 10 =$1,053,158.42<$1,247,000

Goal 1 is not realized because the inflation-adjusted annual payment is below $120,000.

Goal 2 is realized.

老师可以解释一下37%和63%是如何计算的吗？我只知道20 year投资CZ，10 year投资BY

添加评论
2 个答案
已采纳答案

lynn_品职助教 · 2022年12月28日

嗨，努力学习的PZer你好：


Goal 1 关键词：90% probability of success，20 years。通过查表，选择CZ portfolio，minimum expected return=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.

Goal 2 关键词：85% probability of success，10 years。通过查表，选择BY portfolio，minimum expected return=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%近似63%

BY占比：1,053,158 / 2,900,000=36.32%近似37%（因为另一个是63%）

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

FionaFang · 2024年08月08日

老师输入N=20, I/Y=3.12, FV=0,PMT=120,000，PV算出来不是1820哦

lynn_品职助教 · 2024年08月09日

嗨，努力学习的PZer你好：


BGN模式哦

----------------------------------------------
努力的时光都是限量版，加油！

  • 2

    回答

  • 4

    关注

  • 494

    浏览
相关问题

NO.PZ202206210100000206 问题如下 Using Exhibit 2, whiof the sub-portfolio allocations is most likely to meet both of Sebastian’s goals? A.The current sub-portfolio allocation B.A 43% allocation to sub-portfolio ana 57% allocation to sub-portfolio C.A 37% allocation to sub-portfolio ana 63% allocation to sub-portfolio SolutionC is correct. Sebastinee to aust the sub-portfolio allocation to achieve her goals. austing the allocations to 37% × $2,900,000 = $1,073,000 in an63% × $2,900,000 = $1,827,000 in CZ, she will able to achieve both of her goals baseon the confinintervals.Go1: Sebastinee to maintain her current living expenture of $120,000 per yeover 20 years with a 90% probability of success. Inflation is expecteto average 2.5% annually over the time horizon.Sub-portfolio shoulselectebecause it ha higher expectereturn (5.70%) the 90% probability for the 20-yehorizon. Although sub-portfolio hexpecteannureturn of 7.10%, baseon the 90% probability of success requirement, the scount factor is 5.70%. Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,827,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$120,432.04 $120,000 Go2: Sebastiwants to contribute $1,500,000 to a charitable fountion in 10 years with 85% probability of success. Sub-portfolio shoulselectebecause it ha higher expectereturn (3.60%) the 85% probability for the 10-yehorizon. Although sub-portfolio hexpecteannureturn of 5.70%, baseon the 85% probability of success requirement, the scount factor is 3.60%.Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,073,000 A is incorrect: 40% × $2,900,000 = $1,160,000 in BY, an60% × $2,900,000 = $1,740,000 in CZ.Go1: k= 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,740,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$114,697.18 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,160,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realizeB is incorrect: 43% × $2,900,000 = $1,247,000 in BY, an57% × $2,900,000 = $1,653,000 in CZ.Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,653,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$108,962.32 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,247,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realize 1.为什么默认go1 是CZ，go2 是另外一个组合？题干中并没有显示这种对应。2.go1 这个包含inflation2.5%的公式的知识点出处是在哪里，没看明白这个计算现值的公式

2024-09-25 09:44 2 · 回答

NO.PZ202206210100000206 问题如下 Using Exhibit 2, whiof the sub-portfolio allocations is most likely to meet both of Sebastian’s goals? A.The current sub-portfolio allocation B.A 43% allocation to sub-portfolio ana 57% allocation to sub-portfolio C.A 37% allocation to sub-portfolio ana 63% allocation to sub-portfolio SolutionC is correct. Sebastinee to aust the sub-portfolio allocation to achieve her goals. austing the allocations to 37% × $2,900,000 = $1,073,000 in an63% × $2,900,000 = $1,827,000 in CZ, she will able to achieve both of her goals baseon the confinintervals.Go1: Sebastinee to maintain her current living expenture of $120,000 per yeover 20 years with a 90% probability of success. Inflation is expecteto average 2.5% annually over the time horizon.Sub-portfolio shoulselectebecause it ha higher expectereturn (5.70%) the 90% probability for the 20-yehorizon. Although sub-portfolio hexpecteannureturn of 7.10%, baseon the 90% probability of success requirement, the scount factor is 5.70%. Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,827,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$120,432.04 $120,000 Go2: Sebastiwants to contribute $1,500,000 to a charitable fountion in 10 years with 85% probability of success. Sub-portfolio shoulselectebecause it ha higher expectereturn (3.60%) the 85% probability for the 10-yehorizon. Although sub-portfolio hexpecteannureturn of 5.70%, baseon the 85% probability of success requirement, the scount factor is 3.60%.Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,073,000 A is incorrect: 40% × $2,900,000 = $1,160,000 in BY, an60% × $2,900,000 = $1,740,000 in CZ.Go1: k= 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,740,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$114,697.18 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,160,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realizeB is incorrect: 43% × $2,900,000 = $1,247,000 in BY, an57% × $2,900,000 = $1,653,000 in CZ.Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,653,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$108,962.32 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,247,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realize 如题

2023-06-18 17:06 2 · 回答

NO.PZ202206210100000206问题如下 Using Exhibit 2, whiof the sub-portfolio allocations is most likely to meet both of Sebastian’s goals?A.The current sub-portfolio allocationB.A 43% allocation to sub-portfolio ana 57% allocation to sub-portfolio CZC.A 37% allocation to sub-portfolio ana 63% allocation to sub-portfolio CZSolutionC is correct. Sebastinee to aust the sub-portfolio allocation to achieve her goals. austing the allocations to 37% × $2,900,000 = $1,073,000 in an63% × $2,900,000 = $1,827,000 in CZ, she will able to achieve both of her goals baseon the confinintervals.Go1: Sebastinee to maintain her current living expenture of $120,000 per yeover 20 years with a 90% probability of success. Inflation is expecteto average 2.5% annually over the time horizon.Sub-portfolio shoulselectebecause it ha higher expectereturn (5.70%) the 90% probability for the 20-yehorizon. Although sub-portfolio hexpecteannureturn of 7.10%, baseon the 90% probability of success requirement, the scount factor is 5.70%. Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,827,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$120,432.04 $120,000 Go2: Sebastiwants to contribute $1,500,000 to a charitable fountion in 10 years with 85% probability of success. Sub-portfolio shoulselectebecause it ha higher expectereturn (3.60%) the 85% probability for the 10-yehorizon. Although sub-portfolio hexpecteannureturn of 5.70%, baseon the 85% probability of success requirement, the scount factor is 3.60%.Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,073,000 A is incorrect: 40% × $2,900,000 = $1,160,000 in BY, an60% × $2,900,000 = $1,740,000 in CZ.Go1: k= 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,740,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$114,697.18 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,160,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realizeB is incorrect: 43% × $2,900,000 = $1,247,000 in BY, an57% × $2,900,000 = $1,653,000 in CZ.Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,653,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$108,962.32 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,247,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realize 为什么折现率选择用minimum expectereturn计算，而不是用expectereturn去计算？

2023-06-18 15:08 1 · 回答

NO.PZ202206210100000206 问题如下 Using Exhibit 2, whiof the sub-portfolio allocations is most likely to meet both of Sebastian’s goals? A.The current sub-portfolio allocation B.A 43% allocation to sub-portfolio ana 57% allocation to sub-portfolio C.A 37% allocation to sub-portfolio ana 63% allocation to sub-portfolio SolutionC is correct. Sebastinee to aust the sub-portfolio allocation to achieve her goals. austing the allocations to 37% × $2,900,000 = $1,073,000 in an63% × $2,900,000 = $1,827,000 in CZ, she will able to achieve both of her goals baseon the confinintervals.Go1: Sebastinee to maintain her current living expenture of $120,000 per yeover 20 years with a 90% probability of success. Inflation is expecteto average 2.5% annually over the time horizon.Sub-portfolio shoulselectebecause it ha higher expectereturn (5.70%) the 90% probability for the 20-yehorizon. Although sub-portfolio hexpecteannureturn of 7.10%, baseon the 90% probability of success requirement, the scount factor is 5.70%. Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,827,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$120,432.04 $120,000 Go2: Sebastiwants to contribute $1,500,000 to a charitable fountion in 10 years with 85% probability of success. Sub-portfolio shoulselectebecause it ha higher expectereturn (3.60%) the 85% probability for the 10-yehorizon. Although sub-portfolio hexpecteannureturn of 5.70%, baseon the 85% probability of success requirement, the scount factor is 3.60%.Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,073,000 A is incorrect: 40% × $2,900,000 = $1,160,000 in BY, an60% × $2,900,000 = $1,740,000 in CZ.Go1: k= 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,740,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$114,697.18 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,160,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realizeB is incorrect: 43% × $2,900,000 = $1,247,000 in BY, an57% × $2,900,000 = $1,653,000 in CZ.Go1: k = 5.70%; g = 2.50%.termine the inflation-austeannucash flow generatesub-portfolio CZ: $1,653,000× 0.057−0.025 1− 1+0.025 1+0.057 20 1.057 =$108,962.32 $120,000 Go2: k = 3.60%.termine the amount neetoy in sub-portfolio BY: $1,500,000 1+0.036 10 =$1,053,158.42 $1,247,000 Go1 is not realizebecause the inflation-austeannupayment is below $120,000.Go2 is realize 老师能否帮忙厘清一下整体的解题思路，看了步骤大概能明白，但是整体思路有点浆糊

2023-02-24 17:50 1 · 回答