一只可爱的猪 · 2021年11月15日

No.PZ2021052007000011 (问答题)

The CIO (chief investment officer) of the International University Endowment Fund (the Fund) is preparing for the upcoming investment committee (IC) meeting. The Fund’s annual asset allocation review is on the agenda, and the CIO plans to propose a new strategic asset allocation for the Fund. Subject to prudent risk- taking, the recommended asset allocation should offer

• the highest expected return and

• the highest probability of achieving the long- term 5% real return target.

• The inflation assumption is 2%.

In addition, the risk in the Fund is one factor that is considered when lenders assign a risk rating to the university. The university’s primary lender has proposed a loan covenant that would trigger a re- evaluation of the university’s creditworthiness if the Fund incurs a loss greater than 20% over any 1- year period.

The investment staff produced the following tables to help the CIO prepare for the meeting.

老师，这个题目不考虑D对于alternative的比重过大？

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伯恩_品职助教 · 2021年11月15日

嗨，努力学习的PZer你好：

我把这个题完整的搜索了一下，首先这个题有明确的要求，即

• the highest expected return and

• the highest probability of achieving the long- term 5% real return target.

• The inflation assumption is 2%.

还有一个很重要的是不能触发 loan covenant （ re- evaluation of the university’s creditworthiness if the Fund incurs a loss greater than 20% over any 1- year period.即一年内不能亏损大于20%，不然会重新评估其creditworthiness）

那就是不能跌幅大于20%。而这里面EFG都是可能亏损大于20%的，而ABCD里面在保证了不会亏损大于20%的前提条件下，D是最高可能性完成其目标的。至于其含有多少另类资产不重要，这里只看结果不看过程。