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四喜 · 2024年04月13日

静态模型和MSC的对比

NO.PZ2021090805000016

问题如下:

After communicating investment goals and risk tolerance, Tom and his investment advisor Johnson explained that the next step is to conduct a capital requirement analysis to determine whether Tom is likely to accumulate sufficient financial resources to achieve his goals. Johnson compared two methods for evaluating capital sufficiency- the Monte Carlo model and deterministic model.

1. Both models are based on forward-looking capital market predictions, Monte Carlo models assume compound returns, and deterministic models assume linear portfolio growth.

2. One advantage of the Monte Carlo model is that it can be customized to include input data for variables such as inflation expectations and management fees.

3. Unfortunately, neither of these models can consider the impact of taxation on investment returns.

Which of Johnson's comments is the most accurate when comparing Monte Carlo models with deterministic models? The comment regarding:

选项:

A.

customized input data.

B.

capital market projections.

C.

the incorporation of tax effects.

解释:

A is correct. The Monte Carlo model can incorporate customized input data such as life expectancy, taxes, inflation, and investment management fees.

B is not correct. The Monte Carlo model assumes a simple average return on an investment portfolio and the standard deviation of the return, while the deterministic model assumes a linear growth of the investment portfolio. Both models should use forward-looking capital market assumptions.

C is incorrect. Monte Carlo models can include tax assumptions, but deterministic models does not possess this ability.

A是正确的。蒙特卡洛模型可以包含自定义的输入数据,如预期寿命、税收、通货膨胀和投资管理费。

B不正确。蒙特卡洛模型假设投资组合的简单平均回报率和回报率的标准差,而确定性模型假设投资投资组合的线性增长。这两种模型都应该使用前瞻性的资本市场假设。

C不正确。蒙特卡洛模型可以包括税收假设,但确定性模型不具备这种能力。

题干1的描述之所以不对,是因为MSC是基于简单的回报的均值方差,所以是个缺点,应该用前瞻性数据的意思吗?但MSC如果用的是预测未来收益率的分布,不也是一种forward-looking的体现吗?

题干2里的customized,静态模型和MSC都可以自由选择参数吧?为什么customized就成了MSC的优点了?

题干3,为什么静态模型不能考虑税收影响?给个税率参数不就行了吗?

1 个答案
已采纳答案

王暄_品职助教 · 2024年04月14日

题干1的描述之所以不对,是因为MSC是基于简单的回报的均值方差,所以是个缺点,应该用前瞻性数据的意思吗?但MSC如果用的是预测未来收益率的分布,不也是一种forward-looking的体现吗?

蒙特卡洛模型(Monte Carlo, 简称MSC)通常基于历史数据来模拟未来可能的情景,但它确实会使用到预期的平均回报率和标准差来进行模拟。这里的关键是,虽然它使用了历史数据的统计特性,但模拟的目的是为了预测未来,所以从这个角度说,它确实是一种forward-looking(前瞻性)的方法。然而,如果直接使用历史平均数据来预测未来,这可能被视为一个局限,因为未来的市场表现可能与历史不同。因此,使用更具前瞻性的资本市场预测会更为准确。


当我们说“前瞻性的资本市场假设”时,我们指的是基于当前经济、政治和其他相关因素对未来市场的预测,而不仅仅是基于历史数据的统计特性。


题干2里的customized,静态模型和MSC都可以自由选择参数吧?为什么customized就成了MSC的优点了?

虽然确定性模型(静态模型)也可以允许用户输入某些参数,但蒙特卡洛模型的灵活性更高。蒙特卡洛模型能够模拟成千上万种可能的市场情景,并考虑多种变量(如通胀、税收、管理费等)的影响。这种高度的定制化和情景模拟能力是蒙特卡洛模型的一个显著优点,因为它可以为用户提供一个更加全面和细致的投资组合分析。


题干3,为什么静态模型不能考虑税收影响?给个税率参数不就行了吗?

确定性模型通常基于简化的假设和计算方法,它可能不会详细地模拟税收对投资回报的具体影响。虽然您可以在模型中加入一个税率参数,但这可能不足以完全反映税收的复杂影响,特别是当考虑到资本增值、股息、利息等多种收入来源以及与之相关的不同税率时。


相比之下,蒙特卡洛模型由于其模拟的复杂性,可以更详细地模拟税收的影响,包括不同来源的收入如何被征税、税收对投资组合长期增长的影响等。



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2024-07-10 23:48 1 · 回答