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demon0312 · 2022年05月06日

No.PZ201803130100000602

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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 o
ers 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.

surpus最后投资A这个怎么选的,没有看到提示线索。

2 个答案

lynn_品职助教 · 2022年05月07日

嗨,爱思考的PZer你好:


同学,我们看题干中Goal3最后一句话,Abbott suggests investing any excess capital in Module A。视频课02:11讲到了,07:40也提到了,如果有剩下的钱就投组合A,因为选完C(50.4%)、B(12.7%)、D(20.5%)加起来还不到100%,所以才选A。

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努力的时光都是限量版,加油!

lynn_品职助教 · 2022年05月06日

嗨,从没放弃的小努力你好:


是选完了B、C、D还有剩余的钱(有投资需求),只剩下A可以选了。

AA经典题3.reading6第11个视频,Goals-Based AA(2)

视频2倍速07:40

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

demon0312 · 2022年05月07日

我是问为何选择A,讲解也只是带过去的,没有解释。

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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. 老师,首先请帮忙看一下我的答案这样写OK吗?Accorng to the answer of last question, we shoulchoose mole C for go1, mole B for go2 anmole for goal3.We shoulcalculate the present value of these liabilities first with the expectereturns of eaportfolio.For go1: PV=5/(1+4.4%)^5=4.03 millionFor go2: PV=0.1/(1+2.2%)+0.1*(1+3%)/(1+2.2%)^2+……=1.01millionFor go3: PV=10/(1+7.5%)^25=1.64millionTotamount equals to 6.68millionThe resicapitis 1.32million anshoulallocateto mole A Abbott suggests. In conclusion the overall capitallocation weights are 16.5%for mole 12.6% for mole 50.4% for mole C an20.5% for sub-portfolio 就是写的比较简练,没有答案中那么长,再一个就是我最后算出来的占比和答案存在0.01%的尾差,考试的时候会扣分吗?谢谢!

2024-10-03 13:56 1 · 回答

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