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大恰恰 · 2023年08月21日

这题怎么会选Portfolio A呢?

NO.PZ2023010410000006

问题如下:

Several years later, the Beckers again meet with Frost. Their investable portfolio is now valued at USD 7.0 million. The Beckers state that their primary goal is to maintain their current living standard as long as they live. The Beckers also want to leave a charitable gift of at least USD 5.0 million from their investable assets after they have both died. However, they are not willing to risk running out of money in their old age to achieve this secondary goal. The Beckers agree with Frost to assume a 25-year time horizon.

Frost produces Monte Carlo simulations for the Beckers using two portfolios with different asset allocations. The simulations use a long series of historical index data for each asset class in the two portfolios. The resulting distributions of terminal values are shown in Exhibit 1. All terminal values are after expected taxes and spending needs have been met.


Determine, based on the Monte Carlo simulations, which portfolio (A or B) will better allow the Beckers to achieve their goals. Justify your response with one reason related to risk.

选项:

解释:

Portfolio A will better allow the Beckers to achieve their primary financial goal of maintaining their living standard until both have died. This is because the portfolio has a higher probability of achieving a positive terminal value.

在75 percentile 以上, high probabilities的阶段,都是portfolio B terminal value 高啊!

1 个答案

王暄_品职助教 · 2023年08月21日

注意他们还有一个要求:However, they are not willing to risk running out of money in their old age to achieve this secondary goal. 而portfolio B有10%的概率导致25年后资产价值归零

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NO.PZ2023010410000006 问题如下 Severyears later, the Beckers again meet with Frost. Their investable portfolio is now valueUS7.0 million. The Beckers state ththeir primary gois to maintain their current living stanrlong they live. The Beckers also want to leave a charitable gift of least US5.0 million from their investable assets after they have both e However, they are not willing to risk running out of money in their olage to achieve this seconry goal. The Beckers agree with Frost to assume a 25-yetime horizon. Frost proces Monte Carlo simulations for the Beckers using two portfolios with fferent asset allocations. The simulations use a long series of historicinx ta for eaasset class in the two portfolios. The resulting stributions of terminvalues are shown in Exhibit 1. All terminvalues are after expectetaxes anspenng nee have been met.termine, basen the Monte Carlo simulations, whiportfolio (A or will better allow theBeckers to achieve their goals. Justify your response with one reason relateo risk. Portfolio A willbetter allow the Beckers to achieve their primary financigoof maintainingtheir living stanruntil both have e This is because the portfolio hahigher probability of achieving a positive terminvalue. 请问为什么这道题不选B?为什么是看总的有没有positive value,而不是看客户目标呢?客户想要有5million做慈善,Portfolio B有75% 可能TerminValue大于500万,而Portfolio A只有50%不到的可能Terminvalue才大于50%,所以为什么不选Portfolio B呢?感觉说只是因为portfolio a ha higher probability of achieving a positive terminvalue有一点牵强,这个答案等于对谁都适用,不是只针对这个客户自己的投资目标的。麻烦一下,谢谢!

2024-08-14 08:35 1 · 回答

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2024-01-08 16:20 2 · 回答