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秋樣 · 2023年12月05日

Private wealth问题-蒙特卡洛模型

NO.PZ2021090805000023

问题如下:

Exhibit 1

Monte Carlo Simulation Results for Retirement Goal of a Hypothetical Client

According to the table below, John's interpretation is:

  1. Over 20 years, 30% of the time clients have not met their goals.

  2. Over 15 years, the value of the investment portfolio is at least 25% of $1,711,500.

  3. Over 20 years, the client will run out of money 75% of the time.

Among John's three possible interpretations for Exhibit 1, the most accurate one is:

选项:

A.

Interpretation 1.

B.

Interpretation 2

C.

Interpretation 3

解释:

A is correct. Interpretation 1 is correct: Over 20 years, 70% of the trials were successful, which means that the client achieved his or her goals 70% of the time, or did not achieve them in 30% of the trials.

B is not correct. Fifteen years later, the portfolio value of $1711500 indicates that in 25% of the trials over that time frame, the portfolio value may exceed $1711500, rather than 25% of that value.

C is incorrect. Over 20 years, 75% of the trials will result in losses below $249211. Although some of the results will be losses, the table does not indicate the positive or negative aspects of the results.

A是正确的。解释1是正确的:在20年的时间里,70%的试验是成功的,这意味着客户70%的时间达到了他或她的目标,或者在30%的试验中没有达到。

B不正确。15年后,1,711,500美元的投资组合价值表明,在该时间段内25%的试验中,投资组合价值可能超过1,711,500美元,而不是该价值的25%。

C不正确。在20年内,75%的试验将导致低于249,211美元的损失。尽管其中一些结果将是损失,但该表并未说明结果的积极或消极部分。


你好,对这个题不理解。


Interpretation 1,按照课上说的,意思不是70%trials成功、30%trials失败吗?为什么是30%的客户达不成目标呢?而且75%那一栏是(249211)不应该解读为75%的概率投资额会亏损249211吗?


Interpretation 2 ,15年内,有25%的概率投资金额会达到1711500。


Interpretation 3, 20年内,“the client will run out of the money 75% of the time"是什么意思?难道不是75%的概率投资额会亏损249211?


我视频听了三遍,我觉得李斯克老师说的很不清楚。。

2 个答案

王暄_品职助教 · 2023年12月06日

interpretation 1:30% of the time clients have not met their goals,描述正确,客户有30%的概率无法完成蒙特卡洛模拟预估出来的目标。 “have not met their goals”蒙特卡罗模拟出的就是客户的投资目标吗?无论这个目标是正是负?

是的

王暄_品职助教 · 2023年12月06日

嗨,从没放弃的小努力你好:


Interpretation 1,按照课上说的,意思不是70%trials成功、30%trials失败吗?为什么是30%的客户达不成目标呢?而且75%那一栏是(249211)不应该解读为75%的概率投资额会亏损249211吗?

针对的是20年后,客户资产有75的概率大于(249211),有25%的概率资产价值大于1521421;且70%的概率,在20年后,会达成上述价值的估计(即successful trail = 70%)

因此对于interpretation 1:30% of the time clients have not met their goals,描述正确,客户有30%的概率无法完成蒙特卡洛模拟预估出来的目标


Interpretation 3, 20年内,“the client will run out of the money 75% of the time"是什么意思?难道不是75%的概率投资额会亏损249211?

interpretation 3的意思:客户在20年后,有75%的概率资产为负;

根据表格,20年后,客户资产有75的概率大于【-249211】,因此次产为负数的概率不可能是75%这么大,所以描述错误

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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