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- 2015-5-25
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level 3 curriculum reading 13 Q3
谁能解释一下这题。。。 完全搞不懂啊。。 为什么 Lee选 strategy B,, Hernandez 选strategy C 啊。。
Lee = Human capital equity like 不是应该投多点BOND吗。。
Hernandez = human capital bond like 不是投多点equity 就行了么。。？？？？？？
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Smith is the financial advisor to Steve Hernandez and Michael Lee. Hernandez is a 35-year old physician with an annual income of $200,000 and financial wealth of $250,000. Hernandez’s financial wealth is expected to significantly increase to $1,000,000 over the next 2 months due to an inheritance. Michael Lee is a 35-year old equity trader with an average annual income of $200,000. Lee’s income exhibits a 0.90 correlation to the performance of the S&P 500.
Recommend which of the following portfolio construction strategies are optimal for Hernandez and Lee and justify the selections.
Allocation Strategy A Strategy B Strategy C Strategy D Strategy E
Stocks 100% 80% 65% 20% 0%
AAA-rated government bonds 0% 20% 35% 80% 100%
(Institute 206)
Institute, CFA. 2015 CFA Level III Volume 2 Behavioral Finance, Individual Investors, and Institutional Investors. Wiley Global Finance, 2014-07-14. VitalBook file.
answer:
Strategy C is optimal for Hernandez. The optimal allocation to the risk-free asset increases with initial wealth. Wealth is defined as both financial wealth and human capital. An increase in financial wealth not only increases total wealth but also reduces the percentage of total wealth represented by human capital. In this case, human capital is less risky than the risky asset. When initial wealth is low, human capital dominates total wealth. For a typical investor whose human capital is less risky than the risky asset, the optimal asset allocation is more conservative the more financial assets the investor has.
Strategy B is optimal for Lee. The optimal allocation of financial wealth becomes more weighted towards risk-free assets, than would otherwise be indicated based on age, as income and stock market returns become increasingly correlated. A higher correlation between human capital and the stock market results in less diversification and higher risk for the total portfolio. To reduce this risk, an investor must invest more financial wealth in the risk-free asset. At a 0.90 correlation between Lee’s human capital and the stock market, the optimal allocation is 20% to the risk free asset and 80% to stocks. Lee’s allocation of 80% to stocks is higher than might be expected given the correlation between his income and the S&P 500 because of behavioral factors. He is an equity trader and is likely to believe he knows stocks and to have a relatively high degree of risk tolerance. Assuming weaker correlations between his income and the S&P 500, the allocation to the risk free asset will be lower and allocation to stocks will be greater.
(Institute 207)
Institute, CFA. 2015 CFA Level III Volume 2 Behavioral Finance, Individual Investors, and Institutional Investors. Wiley Global Finance, 2014-07-14. VitalBook file. |
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发表于 2015-5-25 12:24
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