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wsmn · 2020年05月03日

问一道题:NO.PZ2018091705000101

问题如下:

 Açor reviews a recent risk tolerance questionnaire completed by Njau, which relates to overall portfolio risk. Açor focuses on the type of capital sufficiency analysis to perform for Njau. To determine the optimal allocation, Açor seeks to ensure that Njau’s charitable pledge can be met and implements a goal- based investing approach. Açor runs a Monte Carlo simulation to determine the probability of success, which is the likelihood that Njau can meet her charitable pledge objective. The simulation results are presented in Exhibit 2.

Açor’s portfolio allocation for Njau is most likely optimized on the basis of: 

选项:

A.

a stated maximum level of volatility. 

B.

 total portfolio mean–variance efficiency.

C.

 the results of the risk tolerance questionnaire.

解释:

A is correct. Açor uses the goal- based investing approach by allocating with a focus on Njau’s charitable pledge to Udhamini. With this method, she seeks to optimize Njau’s portfolio so that the pledge goal has a high probability of being met. Açor will set aside a required amount of funds to invest, and a mean–variance optimization will be run specifically for that portion of Njau’s portfolio. The funds will be invested to a stated maximum level of volatility to meet the charitable need.

为什么“最终使得目标投资组合被优化到一个指定的最大波动水平”是目标之一?是不是因为波动越大收益越高?所以在可接受的最大波动范围内就是可以获得可承受的风险程度范围内的最大收益?是这样理解么?

1 个答案

王暄_品职助教 · 2020年05月04日

嗨,从没放弃的小努力你好:


  • 题干中提到Acor用的是goal-based investing approach, 所以我们要分层考虑每一个goal,也就是在每一个goal内,用mean-variance optimizationà那么 B一定是错的,因为说的是total portfolio mean-variance efficiency
  • 在每一个goal内使用mean-variance optimization,就是像你说的:波动越大收益越大,那么可以在投资者可接受范围内挑一个最大风险的allocation以便于获得最大化的收益去实现charitable need

-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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