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1、Question:1Topic:PortfolioManagement-IndividualMinutes:36ReadingReferences:15.uManagingIndividualInvestorPortfolios,Ch.2ManagingInvestmentPortfolios:ADynamicProcess,3rdedition,JamesW.Bronson,MatthewH.Scanlan,andJanR.Squires(CFAInstitute,2007)20.ttGoaIs-BasedInvesting:IntegratingTraditionalandBehavior
2、alFinance,”DanielNevins,JournalofWealthManagement(InstitutionalInvestors,2004)Purpose:Testindividualportfoliomanagementconcepts.1.OS:2008-I11-4-15-j,k,1,n15.“ManagingIndividualInvestorPortfblios”Thecandidateshouldbeableto:j)explainhowtosetriskandreturnobjectivesforindividualinvestorportfoliosanddisc
3、usstheimpactthatabilityandwillingnesstotakeriskhaveonrisktolerance;k)identifyandexplaineachofthemajorconstraintcategoriesincludedinanindividualinvestorsinvestmentpolicystatement;1)formulateandjustifyaninvestmentpolicystatementforanindividualinvestor;n)compareandcontrasttraditionaldeterministicversus
4、MonteCarloapproachestoretirementplanningandexplaintheadvantagesofaMonteCarloapproach.1.OS:2008-11I-4-20-c,d20.t4Goals-BasedInvesting:IntegratingTraditionalandBehavioralFinance,c)justifytheuseofabsoluteperformanceandcashflowmatchingobjectivestomeetthegoalOflifcstylcprotection;d)comparelifestyleprotec
5、tionstrategieswithfixedhorizonstrategiesandexplainwhentheuseofeachapproachisappropriate.Question:1Topic:PortfolioManagement-IndividualMinutes:36GuidelineAnswer:PARTAi.ThereturnobjectivefortheCarvalhos,portfolioisto:-provideforthemortgagepaymentsforahome-supporttheirlivingexpensesinretirement-maintai
6、ntheinflation-adjustedvalueoftheportfolioii.CASHFLOWSCurrentYear1InflowsSalaryTrustDistributionsTotalInflows120,000124,800750,0000870,000124,800Outflows1.ivingExpensesDownpaymentonhomeMortgageonhomeTotalOutflows120,000124,800255,0000055,000375,000179,800NetInflowsZ(Outflows)495,000(55,000)INVESTABLE
7、ASSETSInvestableAssetsCurrentsavingsportfolioCurrentyearnetinflowTotalInvestableAssets500,000495,000995,000CALCULATIONOFREQUIREDRETURNOutflowsrequirednextyearDividedbyinvestableassets55,000995,000=5.53%PlusexpectedinflationRequiredAfter-TaxNominalReturn-arithmeticOrRequiredAfterTaxNominalReturn-geom
8、etric4.00%9.53%1.0553xL0400=9.75%Question:Topic: Minutes:1PortfolioManagement-Individual36PARTBTemplateforQuestionI-BiIdentifyAt笫factorsintheCarvaIhosSitUatiOnthatincreasetheirabilitytotakerisk.-Theyhavealongtimehorizon-Theyareyoungandhavemorehumancapital-Theywillreceiveanothertrustpayoutin10years-T
9、heywillpotentiallyinheritalargesumofmoneyfromMariana,sparents-TheyhavestableincomeiiIdentifyAvofactorsintheCarVaIhosSitUatiOnthatdecreasetheirabilitytotakerisk.-Theyhaveamoderateassetbaserelativetorequiredcashflowsfromtheportfolio-Thereisnoassurancethechildrenseducationwillbecoveredbyascholarshipand
10、thecostcouldbesubstantialiii.DeterminewhethertheCarvalhoshavebelow-average,average,orabove-averageabilitytotakerisk.(CirCIeOne)Below-averageAverageAbove-average)Question:1Topic:PortfolioManagement-IndividualMinutes:36PARTCTemplateforQuestionI-CConstraintPreparethefollowingconstraintsoftheCarvalhos,I
11、PS.i.LiquidityTheCarvalhosneedtheirinvestmentportfoliotoprovideBRL55,000fornextycar,smortgagepayment.ii.TimehorizonTheCarvalhoshavealong-termmulti-stagetimehorizon.Intheshortterm,theymustpaylivingexpensesandprovideahomefortheirfamily.Theymayalsohavetopaytuitionfortheirchildren.Theirsecondstageisreti
12、rement,thirtyyearsfromnow.PARTDi.TherevisedreturnobjectivefortheCarvalhos,portfolioisto:-provideforthemortgageontheirhome-supporttheirlivingexpensesinretirement-supportcharitableendeavorsinretirement-provideabequestfortheirchildren.ii.Theafter-taxnominalrateofreturnis8.48%.Thereturniscalculatedusing
13、thefollowinginputs:Mortgagepaymentsremaining5Annualmortgageamount$35,000Investmentportfoliovalue(current)$10,200,000Investmentportfoliovalue(target)$15,000,000UsingtheHP12-Ccalculator,thefollowingfiguresareusedinthecalculationwhensolvingfori:N=5,PV=10,200,000,PMT=-55,000,FV=-15,000,000,computei=8.48
14、%orN=5,PV=-10,200,000,PMT=55,000,FV=15,000,000,computei=8.48%Note:SalariesZexpensesareawash.Question:2Topic:PortfolioManagement-IndividuaIZBehavioralMinutes:9ReadingReferences:7.t4Heuristic-DrivenBias:TheFirstTheme,Ch.2,BeyondGreedandFear:UnderstandingBehavioralFinanceand?ePSyChOlOgyofInvesting,Hers
15、hShefrin(OxfordUniversitySchoolPress,2002)8.fctFrameDependence:TheSecondTheme；Ch.3,BeyondGreedandFear:UnderstandingBehavioralFinanceandthePsycholoofInvestingHcrshShcfrin(OxfordUniversitySchoolPress52002)11.InvestmentDecisionMakinginDefinedContributionPensionPlans,”Pensions,AlistairByrne,(PalgraveMcMiIlan2004)13.ASurveyofBehavioralFinance/9Ch.18,HandbookoftheEconomicsofFinanceNicholasBarberisandRichardThaler(ElsevierScienceB.V.,2003)Purpose:Testbehavioralfinanceconceptsforindividual1.
