开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Kokonoi Hajime · 2025年06月18日

所以

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000045

问题如下：

Sarzi also advises Jamesand Karen Rozeer, a married couple who recently retired with total assets ofUSD 10 million. The Rozeers have two goals they wish to achieve during theirretirement:

Goal 1: The Rozeers wish to have an 85% chance oftransferring USD 7.5 million to their children in 10 years.

Goal 2: The Rozeers wish to have a 75% chance of being able todonate USD 15 million to a charitable organization in 25 years.

Sarzi recommendsimplementing a goals-based approach to construct a portfolio. He develops a setof sub-portfolio modules, which are presented in Exhibit 3. Sarzi suggestsinvesting any excess capital in Module A.

Exhibit 3 “Highest Probability-and Horizon-Adjusted Return”Sub-Portfolio Modules under Different Horizon and Probability Scenarios

C.Construct the overall goals-based asset allocation for the Rozeers given theirtwo goals and Sarzi’s suggestion for investing any excess capital. Show yourcalculations. (2018 Q9)

Note: The answershould be the percentage of total assets to be invested in each module.

解释：

The appropriate goals-based allocation for the Rozeers is as follows:

Goal 1 has a time horizon of 10 years and a required probability of success of 85%. As a result, Module B should be chosen because its 5.0% expected return is higher than the expected returns of all the other modules. The present value of Goal 1, discounted using the 5.0% expected return, is calculated as:

N = 10, FV = –USD 7,500,000, I/Y = 5.0%; PV = USD 4,604,349 (or USD 4.60 million)

So, approximately 46.0% of the total assets of USD 10 million (= USD 4.60 million / USD 10.00 million) should be allocated to Module B.

For Goal 2, which has a time horizon of 25 years and a required probability of success of 75%, Module C should be chosen because its 6.9% expected return is higher than the expected returns of all the other modules. The present value of Goal 2, discounted using the 6.9% expected return, is calculated as:

N = 25, FV = –USD 15,000,000, I/Y = 6.9%; PV = USD 2,829,102 (or USD 2.83 million)

So, approximately 28.3% of the total assets of USD 10 million (= USD 2.83 million / USD 10.00 million) should be allocated to Module C.

Finally, the surplus of USD 2,566,549 (= USD 10,000,000 – USD 4,604,349 – USD 2,829,102), representing 25.7% (= USD 2.57 million / USD 10.00 million), should be invested in Module A following Sarzi’s suggestion.

这道题其实和客户10年以及25年想花多少钱没关系，只要看需要的minimum return requirement和可能性就好了嘛

添加评论
1 个答案

Lucky_品职助教 · 2025年06月18日

嗨，从没放弃的小努力你好：


你的理解存在偏差。这道题需要同时考虑目标成功概率对应的最低预期回报率和目标金额。

具体来说，首先要根据每个目标的时间期限和成功概率，从表格中找到对应模块的最低预期回报率，选择其中最高的模块，比如目标 1 选 Module B 是因为其 10 年 85% 概率下 5.0% 的最低预期回报率高于其他模块，目标 2 选 Module C 是因其 25 年 75% 概率下 6.9% 的最低预期回报率最高。

然后，必须用所选模块的预期回报率对目标金额进行折现计算现值，如目标 1 用 5.0% 折现 750 万美元得到约 460.43 万美元，占总资产 1000 万美元的 46.0%，目标 2 用 6.9% 折现 1500 万美元得到约 282.91 万美元，占 28.3%，剩余资金才按建议投入 Module A。

所以目标金额的现值计算是确定各模块资金分配比例的关键，不能忽略。

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

  • 1

    回答

  • 0

    关注

  • 5

    浏览
相关问题

NO.PZ2022122801000045 问题如下 Sarzi also aises JamesanKaren Rozeer, a marriecouple who recently retirewith totassets ofUS10 million. The Rozeers have two goals they wish to achieve ring theirretirement:Go1: The Rozeers wish to have 85% chanoftransferring US7.5 million to their chilen in 10 years.Go2: The Rozeers wish to have a 75% chanof being able tonate US15 million to a charitable organization in 25 years.Sarzi recommenimplementing a goals-baseapproato construa portfolio. He velops a setof sub-portfolio moles, whiare presentein Exhibit 3. Sarzi suggestsinvesting any excess capitin Mole A.Exhibit 3 “Highest Probability-anHorizon-AusteReturn”Sub-Portfolio Moles unr fferent Horizon anProbability ScenariosC.Construthe overall goals-baseasset allocation for the Rozeers given theirtwo goals anSarzi’s suggestion for investing any excess capital. Show yourcalculations. (2018 Q9)Note: The answershoulthe percentage of totassets to investein eamole. The appropriate goals-baseallocation for the Rozeers is follows:Go1 ha time horizon of 10 years ana requireprobability of success of 85%. a result, Mole B shoulchosen because its 5.0% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go1, scounteusing the 5.0% expectereturn, is calculateas:N = 10, FV = –US7,500,000, I/Y = 5.0%; PV = US4,604,349 (or US4.60 million)So, approximately 46.0% of the totassets of US10 million (= US4.60 million / US10.00 million) shoulallocateto Mole B.For Go2, whiha time horizon of 25 years ana requireprobability of success of 75%, Mole C shoulchosen because its 6.9% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go2, scounteusing the 6.9% expectereturn, is calculateas:N = 25, FV = –US15,000,000, I/Y = 6.9%; PV = US2,829,102 (or US2.83 million)So, approximately 28.3% of the totassets of US10 million (= US2.83 million / US10.00 million) shoulallocateto Mole C.Finally, the surplus of US2,566,549 (= US10,000,000 – US4,604,349 – US2,829,102), representing 25.7% (= US2.57 million / US10.00 million), shoulinvestein Mole A following Sarzi’s suggestion. Portfolio B is for go1 because it offers highest return (5.0%) the 85% chanfor 10 years.4.6million shoulinvest in Portfolio B.Go2: The Rozeers wish to have a 75% chanof being able to nate US15 million to a charitable organization in 25 years.Portfolio C is for go2 because it offers highest return(6.9%) the 75% chanfor 25 years.2.8 million shoulinvest in Portfolio 2.6 million shoulinvest in Portfolio A.

2025-04-29 12:47 1 · 回答

NO.PZ2022122801000045 问题如下 Sarzi also aises JamesanKaren Rozeer, a marriecouple who recently retirewith totassets ofUS10 million. The Rozeers have two goals they wish to achieve ring theirretirement:Go1: The Rozeers wish to have 85% chanoftransferring US7.5 million to their chilen in 10 years.Go2: The Rozeers wish to have a 75% chanof being able tonate US15 million to a charitable organization in 25 years.Sarzi recommenimplementing a goals-baseapproato construa portfolio. He velops a setof sub-portfolio moles, whiare presentein Exhibit 3. Sarzi suggestsinvesting any excess capitin Mole A.Exhibit 3 “Highest Probability-anHorizon-AusteReturn”Sub-Portfolio Moles unr fferent Horizon anProbability ScenariosC.Construthe overall goals-baseasset allocation for the Rozeers given theirtwo goals anSarzi’s suggestion for investing any excess capital. Show yourcalculations. (2018 Q9)Note: The answershoulthe percentage of totassets to investein eamole. The appropriate goals-baseallocation for the Rozeers is follows:Go1 ha time horizon of 10 years ana requireprobability of success of 85%. a result, Mole B shoulchosen because its 5.0% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go1, scounteusing the 5.0% expectereturn, is calculateas:N = 10, FV = –US7,500,000, I/Y = 5.0%; PV = US4,604,349 (or US4.60 million)So, approximately 46.0% of the totassets of US10 million (= US4.60 million / US10.00 million) shoulallocateto Mole B.For Go2, whiha time horizon of 25 years ana requireprobability of success of 75%, Mole C shoulchosen because its 6.9% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go2, scounteusing the 6.9% expectereturn, is calculateas:N = 25, FV = –US15,000,000, I/Y = 6.9%; PV = US2,829,102 (or US2.83 million)So, approximately 28.3% of the totassets of US10 million (= US2.83 million / US10.00 million) shoulallocateto Mole C.Finally, the surplus of US2,566,549 (= US10,000,000 – US4,604,349 – US2,829,102), representing 25.7% (= US2.57 million / US10.00 million), shoulinvestein Mole A following Sarzi’s suggestion. 请问计算什么的时候才会用到各mole的mathematic expectereturn呢？（第一个表格中的expectereturn的数据）可以举个例子吗谢谢

2025-01-18 19:32 1 · 回答

NO.PZ2022122801000045 问题如下 Sarzi also aises JamesanKaren Rozeer, a marriecouple who recently retirewith totassets ofUS10 million. The Rozeers have two goals they wish to achieve ring theirretirement:Go1: The Rozeers wish to have 85% chanoftransferring US7.5 million to their chilen in 10 years.Go2: The Rozeers wish to have a 75% chanof being able tonate US15 million to a charitable organization in 25 years.Sarzi recommenimplementing a goals-baseapproato construa portfolio. He velops a setof sub-portfolio moles, whiare presentein Exhibit 3. Sarzi suggestsinvesting any excess capitin Mole A.Exhibit 3 “Highest Probability-anHorizon-AusteReturn”Sub-Portfolio Moles unr fferent Horizon anProbability ScenariosC.Construthe overall goals-baseasset allocation for the Rozeers given theirtwo goals anSarzi’s suggestion for investing any excess capital. Show yourcalculations. (2018 Q9)Note: The answershoulthe percentage of totassets to investein eamole. The appropriate goals-baseallocation for the Rozeers is follows:Go1 ha time horizon of 10 years ana requireprobability of success of 85%. a result, Mole B shoulchosen because its 5.0% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go1, scounteusing the 5.0% expectereturn, is calculateas:N = 10, FV = –US7,500,000, I/Y = 5.0%; PV = US4,604,349 (or US4.60 million)So, approximately 46.0% of the totassets of US10 million (= US4.60 million / US10.00 million) shoulallocateto Mole B.For Go2, whiha time horizon of 25 years ana requireprobability of success of 75%, Mole C shoulchosen because its 6.9% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go2, scounteusing the 6.9% expectereturn, is calculateas:N = 25, FV = –US15,000,000, I/Y = 6.9%; PV = US2,829,102 (or US2.83 million)So, approximately 28.3% of the totassets of US10 million (= US2.83 million / US10.00 million) shoulallocateto Mole C.Finally, the surplus of US2,566,549 (= US10,000,000 – US4,604,349 – US2,829,102), representing 25.7% (= US2.57 million / US10.00 million), shoulinvestein Mole A following Sarzi’s suggestion. 根据No.PZ2022122801000046题老师的讲解，surplus要投expectereturn高的portfolio，那本题剩余的2.57为什么不投在moleC （expectereturn=8.3%，最高）?

2024-02-02 14:30 1 · 回答

NO.PZ2022122801000045 问题如下 Sarzi also aises JamesanKaren Rozeer, a marriecouple who recently retirewith totassets ofUS10 million. The Rozeers have two goals they wish to achieve ring theirretirement:Go1: The Rozeers wish to have 85% chanoftransferring US7.5 million to their chilen in 10 years.Go2: The Rozeers wish to have a 75% chanof being able tonate US15 million to a charitable organization in 25 years.Sarzi recommenimplementing a goals-baseapproato construa portfolio. He velops a setof sub-portfolio moles, whiare presentein Exhibit 3. Sarzi suggestsinvesting any excess capitin Mole A.Exhibit 3 “Highest Probability-anHorizon-AusteReturn”Sub-Portfolio Moles unr fferent Horizon anProbability ScenariosC.Construthe overall goals-baseasset allocation for the Rozeers given theirtwo goals anSarzi’s suggestion for investing any excess capital. Show yourcalculations. (2018 Q9)Note: The answershoulthe percentage of totassets to investein eamole. The appropriate goals-baseallocation for the Rozeers is follows:Go1 ha time horizon of 10 years ana requireprobability of success of 85%. a result, Mole B shoulchosen because its 5.0% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go1, scounteusing the 5.0% expectereturn, is calculateas:N = 10, FV = –US7,500,000, I/Y = 5.0%; PV = US4,604,349 (or US4.60 million)So, approximately 46.0% of the totassets of US10 million (= US4.60 million / US10.00 million) shoulallocateto Mole B.For Go2, whiha time horizon of 25 years ana requireprobability of success of 75%, Mole C shoulchosen because its 6.9% expectereturn is higher ththe expectereturns of all the other moles. The present value of Go2, scounteusing the 6.9% expectereturn, is calculateas:N = 25, FV = –US15,000,000, I/Y = 6.9%; PV = US2,829,102 (or US2.83 million)So, approximately 28.3% of the totassets of US10 million (= US2.83 million / US10.00 million) shoulallocateto Mole C.Finally, the surplus of US2,566,549 (= US10,000,000 – US4,604,349 – US2,829,102), representing 25.7% (= US2.57 million / US10.00 million), shoulinvestein Mole A following Sarzi’s suggestion. 请问老师，这样回答够吗Rozeers shoulinvest in Mole B for go1, aninvest in Mole C for go2, sinthese two have the highest annualizeminimum expectereturn 5% an6.9% corresponngly. The assets will investein these two moles are US,604,349.40 anUS,829,102.15, hence, the percentage for these two shoul46% an28%, the percentage for investing in mole A shoul26%.

2024-01-02 20:56 1 · 回答