NO.PZ2023010410000006
问题如下：
Several years later, the Beckers again meet with Frost. Their investable portfolio is now valued at USD 7.0 million. The Beckers state that their primary goal is to maintain their current living standard as long as they live. The Beckers also want to leave a charitable gift of at least USD 5.0 million from their investable assets after they have both died. However, they are not willing to risk running out of money in their old age to achieve this secondary goal. The Beckers agree with Frost to assume a 25-year time horizon.
Frost produces Monte Carlo simulations for the Beckers using two portfolios with different asset allocations. The simulations use a long series of historical index data for each asset class in the two portfolios. The resulting distributions of terminal values are shown in Exhibit 1. All terminal values are after expected taxes and spending needs have been met.
Determine, based
on the Monte Carlo simulations, which portfolio (A or B) will better allow the
Beckers to achieve their goals. Justify your response with one reason related
to risk.
选项：
解释：
Portfolio A will
better allow the Beckers to achieve their primary financial goal of maintaining
their living standard until both have died. This is because the portfolio has a
higher probability of achieving a positive terminal value.
No.PZ2023010410000006 (问答题) 来源: 经典题
Several years later, the Beckers again meet with Frost. Their investable portfolio is now valued at USD 7.0 million. The Beckers state that their primary goal is to maintain their current living standard as long as they live. The Beckers also want to leave a charitable gift of at least USD 5.0 million from their investable assets after they have both died. However, they are not willing to risk running out of money in their old age to achieve this secondary goal. The Beckers agree with Frost to assume a 25-year time horizon.
Frost produces Monte Carlo simulations for the Beckers using two portfolios with different asset allocations. The simulations use a long series of historical index data for each asset class in the two portfolios. The resulting distributions of terminal values are shown in Exhibit 1. All terminal values are after expected taxes and spending needs have been met.
Determine, based on the Monte Carlo simulations, which portfolio (A or B) will better allow the Beckers to achieve their goals. Justify your response with one reason related to risk.
解析
Portfolio A will better allow the Beckers to achieve their primary financial goal of maintaining their living standard until both have died. This is because the portfolio has a higher probability of achieving a positive terminal value.
老师好，请问这个蒙特卡洛图是不是可以这样解释：
1⃣️ 25年后，95%的概率下，portfolio A大于17808，portfolio B大于35814？还是小于？感觉大于35million有这么高概率不太对啊。
2⃣️ 25年后，10%的概率下，portfolio A大于294，portfolio B归零？
虽然portfolio B在25%的概率及以上都比portfolio A表现好，但仍有10%的概率会归零，所以不选？
