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加油学习 · 2021年02月21日

问一道题：NO.PZ2018091705000046 [ CFA III ]

  1. CFA III
  2. 个人IPS

问题如下：

Is it appropriate to use the expected return of the assets used to fund their spending needs when calculating the capitalized value of the core capital spending needs? Why or why not?

解释：

It is not appropriate to use the expected return of the assets used to fund spending needs to calculate the capitalized value of the core capital needs, because the risk of the spending needs is unrelated to the risk of the investment portfolio used to fund those needs.

Although the annual spending cash flows are not riskless, a risk-free rate should be used to calculate the present value of the cash flows as their uncertainty is unrelated to market risk factors that would be priced in a normal asset pricing model, making their beta equal to zero.

老师您好，答案解析最后一段好长啊，句子结构好复杂啊，能给划分一下句子成分么，断不明白了，成套娃了

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已采纳答案

王暄_品职助教 · 2021年02月22日

嗨，爱思考的PZer你好：


翻译和断句如下：

Although， the annual spending cash flows， are not riskless,

尽管，每年的支出现金流，并不是无风险的，

a risk-free rate should be used to， calculate the present value of the cash flows， as their uncertainty is unrelated to market risk factors（ that would be priced in a normal asset pricing model, making their beta equal to zero）.

但是无风险收益率还是应该被用作去，计算现金流的现值，因为他们（即现金流们）的不确定性跟市场的风险因子无关（这些市场风险因子应该使用资产定价模型去定价，使他们的beta=0）


我再给你解释下这题：

之所以不能用expected return of the assets是因为影响资产回报率的风险和spending need是无关的，换言之，spending needs的波动率和资产回报率的风险无关。所以不可以用expected rate of return，而是使用无风险利率。

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加油吧，让我们一起遇见更好的自己！

加油学习 · 2021年02月23日

非常感谢您对句子的拆解，这个表达方式很清晰，您费心了

笑儿123 · 2021年02月25日

请问老师 spending needs 的波动率和什么有关呢？

王暄_品职助教 · 2021年02月26日

嗨，努力学习的PZer你好：


请问老师 spending needs 的波动率和什么有关呢？

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  • Spending needs的波动率指的是每年的支出可能会不同，所以spending need也有波动里，但这个波动率与资产回报率的风险无关，所以不能用xpected return of the assets去计算Spending needs的core value


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加油吧，让我们一起遇见更好的自己！

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