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lman · 2021年05月02日

这段话什么意思?没看懂~~

NO.PZ2015111901000009

问题如下:

Liu presents the following hypothetical scenario during a lecture on behavioral portfolio theory (BPT).

Ann Lundstrom, a fictitious technology entrepreneur, is a BPT investor who is developing her portfolio. This portfolio will contain two layers: a layer of riskless investments and a layer of speculative investments. The riskless layer will earn 0.50%, and the probability distribution of the expected return on the speculative layer is shown in Exhibit 2.


Lundstrom plans to invest $1,000,000 and has an aspirational level of $1,050,000 with a probability of 75%. She can tolerate some potential loss in wealth but not more than $100,000 (minimum portfolio value of $900,000). Exhibit 3 presents two potential portfolio allocations for this scenario.


Determine which portfolio allocation in Exhibit 3 is closest to the BPT optimal portfolio for Lundstrom. Justify your response.


选项:

解释:

Allocation 1.


Justify your response:

● Both portfolio allocations meet the safety objective of $900,000.

● Allocation 1 has a 90% chance of exceeding the aspirational level of $1,050,000, whereas Allocation 2 only has a 30% chance of exceeding it.

A BPT investor constructs a portfolio in layers to satisfy investor goals rather than be mean–variance efficient. The investor’s expectations of returns and attitudes toward risk vary between the layers. In this case, Lundstrom has a safety objective of $900,000 and aspirational level of return of 5% ($50,000) with a 75% probability.

Given the expected returns for the riskless and speculative layers, Allocation 1 will result in the following amounts:

10% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1 – 0.25) = $900,450

60% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1.12) = $1,052,150

30% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1.50) = $1,207,950.

Given the expected returns for the riskless and speculative layers, Allocation 2 will result in the following amounts:

10% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1 – 0.25) = $979,500

60% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1.12) = $1,016,500

30% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1.50) = $1,054,500

Both portfolio allocations meet the safety objective of $900,000 (minimum value of $900,450 for Allocation 1 and $979,500 for Allocation 2).

Allocation 1 has a 90% chance of exceeding the aspirational level of $1,050,000, however, whereas Allocation 2 has only a 30% chance of exceeding it. As a result, only Allocation 1 meets both the safety objective and the 75% probability of reaching the aspirational level. Thus, Allocation 1 is closest to the BPT optimal portfolio for Lundstrom.

Allocation 1 has a 90% chance of exceeding the aspirational level of $1,050,000, however, whereas Allocation 2 has only a 30% chance of exceeding it. As a result, only Allocation 1 meets both the safety objective and the 75% probability of reaching the aspirational level. Thus, Allocation 1 is closest to the BPT optimal portfolio for Lundstrom.


这段话什么意思?没看懂~~

1 个答案

王琛_品职助教 · 2021年05月05日

嗨,努力学习的PZer你好:


请问同学是指的解析中的哪一段话?可以具体说一下,谢谢

关于提问的方式,也请参考:https://class.pzacademy.com/qa/43032

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NO.PZ2015111901000009 老师,想问下真实考试时,下面这两句关于BPT的描述需要写吗?不写扣分吗? A BPT investor constructs a portfolio in layers to satisfy investor goals rather thmean–varianefficient. The investor’s expectations of returns anattitus towarrisk vary between the layers. In this case, Luntrom ha safety objective of $900,000 anaspirationlevel of return of 5% ($50,000) with a 75% probability. 计算这段肯定是不需要写的吧? Given the expectereturns for the riskless anspeculative layers, Allocation 1 will result in the following amounts: 10% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1 – 0.25) = $900,450 60% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1.12) = $1,052,150 30% chance: (59% × $1,000,000) × 1.005 + (41% × $1,000,000) × (1.50) = $1,207,950. Given the expectereturns for the riskless anspeculative layers, Allocation 2 will result in the following amounts: 10% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1 – 0.25) = $979,500 60% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1.12) = $1,016,500 30% chance: (90% × $1,000,000) × 1.005 + (10% × $1,000,000) × (1.50) = $1,054,500 只回答下面这段是不是就算答全了? Both portfolio allocations meet the safety objective of $900,000 (minimum value of $900,450 for Allocation 1 an$979,500 for Allocation 2). Allocation 1 ha 90% chanof exceeng the aspirationlevel of $1,050,000, however, whereAllocation 2 honly a 30% chanof exceeng it. a result, only Allocation 1 meets both the safety objective anthe 75% probability of reaching the aspirationlevel. Thus, Allocation 1 is closest to the BPT optimportfolio for Luntrom.

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