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Jen2023 · 2023年10月30日

这道题与经典题1.4本质上有什么区别？

  1. CFA I
  2. Portfolio

NO.PZ2017092702000028

问题如下：

An investor performs the following transactions on the shares of a firm.

• At t = 0, she purchases a share for $1,000.

• At t = 1, she receives a dividend of $25 and then purchases three additional shares for $1,055 each.

• At t = 2, she receives a total dividend of $100 and then sells the four shares for $1,100 each.

The money-weighted rate of return is closest to:

选项：

A.

4.5%.

B.

6.9%.

C.

7.3%.

解释：

B is correct.

Computation of the money-weighted return, r, requires finding the discount rate that sets the present value (outflows) equal to the present value (inflows).

Solving for r,  1,000+3,1651+r=251+r+4,500(1+r)21,000+\frac{3,165}{1+r}=\frac{25}{1+r}+\frac{4,500}{{(1+r)}^2}   results in a value of r = 6.91%

经典题最后第四年的NPV也求在CF里了，这里应该是360，为什么不用？



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3 个答案

Kiko_品职助教 · 2023年10月31日

嗨，努力学习的PZer你好：


不客气~加油

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加油吧，让我们一起遇见更好的自己！

Kiko_品职助教 · 2023年10月31日

嗨，努力学习的PZer你好：


经典题这道题，是4年期的fund，最后把钱都取出来所以最后CF4=4626没有问题。这道题只有两年啊，哪来的CF3呢，在第二年末就已经把股票都卖掉了，第三年就没有现金流了。没有明白你这个360是怎么得出来的呢。

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努力的时光都是限量版，加油！

Jen2023 · 2023年10月31日

明白了，谢谢！

Kiko_品职助教 · 2023年10月31日

嗨，爱思考的PZer你好：


本质上是没有区别的。都是每一年发生的现金流折现=NPV。只不过这道题解析用的是另一种方法，cash inflow的PV=cash outflow的PV；

如果这道题按照直接去求IRR的方法比较简便，直接用计算器的IRR进行计算。CF0=-1000；CF1=-1055*3+25=-3140；CF2=1100*4+100；IRR-CPT-=6.91%。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

Jen2023 · 2023年10月31日

不好意思，还是不懂。经典题里老师在求IRR前说还得按CF=4626, 不懂为什么在这道题里不需要按CF3=360?

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