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7777 · 2025年05月04日

计算各个目标所需要的现值，为啥不用mathmatical return作为折现率？

  1. CFA III
  2. Asset Allocation

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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.

计算各个目标所需要的现值，为啥不用mathmatical return作为折现率？

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NO.PZ201803130100000602 问题如下 Construtheoverall goals-baseasset allocation for the Armstrongs given their three goalsanAbbott’s suggestion for investing any excess capital. Show yourcalculations.Show your calculations. Guiline Answer:■ The mole thshoulselectefor eagois the one thoffers the highest return given the time horizon anrequireprobability of success.■ Approximately 16.4%, 12.7%, 50.4%, an20.5% shoulinvestein Moles an respectively. The appropriate goals-baseallocation for the Armstrongs is follows:Supporting calculations:For Go1, whiha time horizon of five years ana requireprobability of success of 85%, Mole C shoulchosen because its 4.4% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go1 is calculatefollows: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 totassets of $8 million (= $4.03 million/$8.00 million) shoulallocateto Mole For Go2, whiha time horizon of 10 years ana requireprobability of success of 99%, Mole B shoulchosen because its 2.2% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go2 is calculatefollows: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)10PV = $1,013,670 (or $1.01 million)So, approximately 12.7% of the totassets of $8 million (= $1.01 million/$8.00 million) shoulallocateto Mole For Go3, whiha time horizon of 25 years ana requireprobability of success of 75%, Mole shoulchosen because its 7.5% expectereturn is higher ththe expectereturns of all the other moles. The present value ofGo3 is calculatefollows: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 totassets of $8 million (= $1.64 million/$8.00 million) shoulallocateto Mole 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), shoulinvestein Mole A following Abbott’s suggestion. 50.4% 12.7% 20.5% 16.4% A

2025-04-25 20:40 2 · 回答

NO.PZ201803130100000602 问题如下 Construtheoverall goals-baseasset allocation for the Armstrongs given their three goalsanAbbott’s suggestion for investing any excess capital. Show yourcalculations.Show your calculations. Guiline Answer:■ The mole thshoulselectefor eagois the one thoffers the highest return given the time horizon anrequireprobability of success.■ Approximately 16.4%, 12.7%, 50.4%, an20.5% shoulinvestein Moles an respectively. The appropriate goals-baseallocation for the Armstrongs is follows:Supporting calculations:For Go1, whiha time horizon of five years ana requireprobability of success of 85%, Mole C shoulchosen because its 4.4% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go1 is calculatefollows: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 totassets of $8 million (= $4.03 million/$8.00 million) shoulallocateto Mole For Go2, whiha time horizon of 10 years ana requireprobability of success of 99%, Mole B shoulchosen because its 2.2% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go2 is calculatefollows: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)10PV = $1,013,670 (or $1.01 million)So, approximately 12.7% of the totassets of $8 million (= $1.01 million/$8.00 million) shoulallocateto Mole For Go3, whiha time horizon of 25 years ana requireprobability of success of 75%, Mole shoulchosen because its 7.5% expectereturn is higher ththe expectereturns of all the other moles. The present value ofGo3 is calculatefollows: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 totassets of $8 million (= $1.64 million/$8.00 million) shoulallocateto Mole 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), shoulinvestein Mole A following Abbott’s suggestion. 请问这道题为什么不用上面的EXPECTERETURN折现而用下面的minimum expectereturn折现呢？什么时候需要用expectereturn,什么时候要用minimum expectereturn，请老师解答一下。

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2025-01-29 01:45 1 · 回答

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2025-01-17 16:54 3 · 回答

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2024-12-23 16:24 2 · 回答