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lemonsoul · 2020年02月16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.

您好,看了之前的答案,对其中的一句解释有一些疑问:“最终使得目标投资组合被优化到一个指定的最大波动水平(风险)或一个特定的成功概率。“,我想问的是,为什么最后会将投资组合优化到一个指定的最大波动水平上呢?”最大波动水平(风险)“难道不是一个不好的东西吗?优化到这个结果是图什么呢?谢谢


1 个答案

carolllll · 2020年02月17日

同学你好,

 

首先这道题说的是goal based,Acor的目标是在15年后有一笔charitable pledge of 500,000。所以Acor的portfolio应该主要是最大可能的在15年后能cover这笔现金流,根据表格我们可以看出来有一半的概率portfolio return是低于500,000的,所以我们需要承担风险从而portfolio return在15年后可以达到500,000,那么这个风险最大的程度也是在IPS里面stated的程度,所以选A。

 

希望对你有帮助哦~

JustJuve · 2020年03月14日

我是不是可以这么理解:把承担的风险调到可接受的最大值,以增加15年后实现目标的可能性?

三金 · 2021年02月06日

老师,我在做这道题的时候是拆出来的小题,并没有看到关于“Acor的目标是在15年后有一笔charitable pledge of 500,000”的内容,所以做题感觉摸不着头脑。是否可以更新一下题干信息

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