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沈贇琦 · 2019年11月23日

问一道题:NO.PZ2018091705000101

问题如下:

 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.

Açor’s portfolio allocation for Njau is most likely optimized on the basis of: 

选项:

A.

a stated maximum level of volatility. 

B.

 total portfolio mean–variance efficiency.

C.

 the results of the risk tolerance questionnaire.

解释:

A is correct. Açor uses the goal- based investing approach by allocating with a focus on Njau’s charitable pledge to Udhamini. With this method, she seeks to optimize Njau’s portfolio so that the pledge goal has a high probability of being met. Açor will set aside a required amount of funds to invest, and a mean–variance optimization will be run specifically for that portion of Njau’s portfolio. The funds will be invested to a stated maximum level of volatility to meet the charitable need.

为什么从题目表中的三组分位点三个期限的数字就能看出是基于maximum level of volatility来获得最优解的?不太理解

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包包_品职助教 · 2019年11月25日

嗨,爱思考的PZer你好:


这道题目不是根据表中的三组分位点三个期限的数字看出是基于maximum level of volatility来获得最优解的,而是因为这句话:Açor seeks to ensure that Njau’s charitable pledge can be met and implements a goal- based investing approach.  因为他采用的是 goal- based investing approach,而这种方法是基于a stated maximum level of volatility or to a specified probability of success.我贴下原版书上关于goal- based investing approach的介绍:

With a goals- based investing approach, the wealth manager focuses on aligning investments with goals. That is, the manager identifies the client’s goals and assigns the required funds to each goal. The manager then performs mean–variance optimization for each goal “portfolio” rather than at the overall portfolio level. Goal portfolios are optimized either to a stated maximum level of volatility or to a specified probability of success.

 


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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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