Next, Açor reviews a recent risk tolerance questionnaire completed by Njau, which relates to overall portfolio risk. Açor focuses on the type of capital sufficiency analysis to perform for Njau. To determine the optimal allocation, Açor seeks to ensure that Njau’s charitable pledge can be met and implements a goal-based investing approach. Açor runs a Monte Carlo simulation to determine the probability of success, which is the likelihood that Njau can meet her charitable pledge objective. The simulation results are presented in Exhibit 2.
Q. Açor’s portfolio allocation for Njau is most likely optimized on the basis of:
- a stated maximum level of volatility.
- total portfolio mean–variance efficiency.
- the results of the risk tolerance questionnaire.
老师这题的本质是什么？为什么B不对？在asses allocation里，不是说AO的本质就是MVO吗？那么goal based是让SR最大化？？讲义中也有goal base MVOfor each goal？？
