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秋樣 · 2023年12月24日

Asset Allocation-Goal based

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000602

问题如下：

Construct the overall goals-based asset allocation for the Armstrongs given their three goals and Abbott’s suggestion for investing any excess capital. Show your calculations.

Show your calculations.

选项：

解释：

Guideline Answer:
■ The module that should be selected for each goal is the one that offers the highest return given the time horizon and required probability of success.
■ Approximately 16.4%, 12.7%, 50.4%, and 20.5% should be invested in Modules A, B, C, and D, respectively. The appropriate goals-based allocation for the Armstrongs is as follows:


Supporting calculations:
For Goal 1, which has a time horizon of five years and a required probability of success of 85%, Module C should be chosen because its 4.4% expected return is higher than the expected returns of all the other modules. The present value of Goal 1 is calculated as follows:
N = 5, FV = –5,000,000, I/Y = 4.4%; CPT PV = $4,031,508 (or $4.03 million)
So, approximately 50.4% of the total assets of $8 million (= $4.03 million/$8.00 million) should be allocated to Module C.

For Goal 2, which has a time horizon of 10 years and a required probability of success of 99%, Module B should be chosen because its 2.2% expected return is higher than the expected returns of all the other modules. The present value of Goal 2 is calculated as follows:

PV=$100,000/(1.022)1+$100,000(1.03)1/(1.022)2+$100,000(1.03)2/(1.022)3+...+$100,000(1.03)9/(1.022)10

PV = $1,013,670 (or $1.01 million)

So, approximately 12.7% of the total assets of $8 million (= $1.01 million/$8.00 million) should be allocated to Module B.

For Goal 3, which has a time horizon of 25 years and a required probability of success of 75%, Module D should be chosen because its 7.5% expected return is higher than the expected returns of all the other modules. The present value of
Goal 3 is calculated as follows:
N = 25, FV = –10,000,000, I/Y = 7.5%; CPT PV = $1,639,791 (or $1.64 million)
So, approximately 20.5% of the total assets of $8 million (= $1.64 million/$8.00 million) should be allocated to Module D.

Finally, the surplus of $1,315,032 (= $8,000,000 – $4,031,508 – $1,013,670 –$1,639,791), representing 16.4% (= $1.32 million/$8.00 million), should be invested in Module A following Abbott’s suggestion.

Construct the overall goals-based asset allocation for the Armstrongs given their three goals and Abbott’s suggestion for investing any excess capital. Show your calculations.


解析

Guideline Answer:

■ The module that should be selected for each goal is the one that offers the highest return given the time horizon and required probability of success.

■ Approximately 16.4%, 12.7%, 50.4%, and 20.5% should be invested in Modules A, B, C, and D, respectively. The appropriate goals-based allocation for the Armstrongs is as follows:



Supporting calculations:

For Goal 1, which has a time horizon of five years and a required probability of success of 85%, Module C should be chosen because its 4.4% expected return is higher than the expected returns of all the other modules. The present value of Goal 1 is calculated as follows:

N = 5, FV = –5,000,000, I/Y = 4.4%; CPT PV = $4,031,508 (or $4.03 million)

So, approximately 50.4% of the total assets of $8 million (= $4.03 million/$8.00 million) should be allocated to Module C.

For Goal 2, which has a time horizon of 10 years and a required probability of success of 99%, Module B should be chosen because its 2.2% expected return is higher than the expected returns of all the other modules. The present value of Goal 2 is calculated as follows:

PV=$100,000/(1.022)1+$100,000(1.03)1/(1.022)2+$100,000(1.03)2/(1.022)3+...+$100,000(1.03)9/(1.022)10

PV = $1,013,670 (or $1.01 million)

So, approximately 12.7% of the total assets of $8 million (= $1.01 million/$8.00 million) should be allocated to Module B.

For Goal 3, which has a time horizon of 25 years and a required probability of success of 75%, Module D should be chosen because its 7.5% expected return is higher than the expected returns of all the other modules. The present value of

Goal 3 is calculated as follows:

N = 25, FV = –10,000,000, I/Y = 7.5%; CPT PV = $1,639,791 (or $1.64 million)

So, approximately 20.5% of the total assets of $8 million (= $1.64 million/$8.00 million) should be allocated to Module D.

Finally, the surplus of $1,315,032 (= $8,000,000 – $4,031,508 – $1,013,670 –$1,639,791), representing 16.4% (= $1.32 million/$8.00 million), should be invested in Module A following Abbott’s suggestion.



老师好，请问这道题如果在考试时，需要写这么多吗？？？题目里说“Show your calculations.”那supporting calculations需要写这么完整吗？

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2 个答案

lynn_品职助教 · 2023年12月25日

嗨，从没放弃的小努力你好：


所以我只要写Guideline Answer那两段就行了吧？

对的，以我的个人经验来看，还是正确地答完题更重要，语言描述在其次。

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加油吧，让我们一起遇见更好的自己！

lynn_品职助教 · 2023年12月24日

嗨，爱思考的PZer你好：


老师好，请问这道题如果在考试时，需要写这么多吗？？？题目里说“Show your calculations.”那supporting calculations需要写这么完整吗？


不需要哈，答案最重要，有时间就写一下公式，没时间就带入数字写一个计算式，随着机考深入改革，现在show calculation 越来越不重要了。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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2024-10-03 13:56 1 · 回答

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2024-02-09 14:42 1 · 回答

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2024-01-31 21:18 1 · 回答