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mino酱是个小破货 · 2024年07月28日

3应该不行吧？alts=0

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000302

问题如下：

A broker proposes to Young three portfolios, shown in Exhibit 1. The broker also provides Young with asset class estimated returns and portfolio standard deviations in Exhibit 2 and Exhibit 3, respectively. The broker notes that there is a $500,000 minimum investment requirement for alternative assets. Finally, because the funds in the money market account are readily investible, the broker suggests using that account only for this initial investment round.


Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. Young’s capital gains and overall tax rate is 25%.

Determine which proposed portfolio most closely meets Young’s desired objectives. (Circle one.) Justify your response.


解释：



为啥选3，PE=0，谢谢

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Lucky_品职助教 · 2024年07月29日

嗨，爱思考的PZer你好：


同学你好：


题干中表述：“Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk.”

首先我们肯定是不能只看收益单项指标的，如果用风险和收益的综合指标，risk-adjusted return，如夏普比率最高来选择最佳组合，那么看这个单独的数据也可以。但这个题目是将收益和风险分开，第一个标准是收益要满足最低6%，计算后发现三个组合都满足；第二个标准是风险尽可能低，即要选择标准差或者方差最低的组合。


关于投资alternative的问题，题干中表述：“The broker notes that there is a $500,000 minimum investment requirement for alternative assets.”

这句的意思是broker指出，另类资产最低投资要求是50万起。说明另类要不就不投，要投就是50万起。所以说，这个不是客户的要求，如果是客户要求，最低配置50万以上的另类，它会站在客户的角度来讲，比方说Young要求要投资50万以上的另类产品。这整一段都不是站在客户的角度来介绍，而是站在broker的角度介绍产品和建议。所以portfolio3不投资PE，是没有违背投资者的要求的。

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