netbluedog

QUOTE:

以下是引用arielwang1206在2011-6-6 12:00:00的发言：

60％，一元一次方程

原有债务4年到期，用2年和7年的zero-coupon bond hedge。过了一年，债务久期大约=3，那2个债券的久期分别约等于1和6，X+6×（1-X）=3 X=0.6

greenguo

QUOTE:

以下是引用lululi在2011-6-6 21:51:00的发言：

U.S. Area

 

Morning

1. Q1, about the 2 portfolio in Monte-Carlo, A or B?

 

Afternoon

1. Why investor has higher risk tolerance: perceivation of xxx, stage of lift, souce of income, which one?

2. accural income return rate: 6.4%, 6.8% and xxx, which one?

3. portion consumed by tax: 15%, 30% and xxx, which one..?

Morning

1. I chose B, coz at 25th percentile, it starts over 5m which is the minimum value requirement.

Afternoon

1. stage of life

2. I took a lot of time on this question, but still no clue, so pick up 6.8%, the 3rd choice is 7%.

3. no clue neither, pick up 15%, seems wrong, should be 30%...

[此贴子已经被作者于2011-6-6 23:58:52编辑过]

lululi

QUOTE:

以下是引用greenguo在2011-6-6 23:55:00的发言：

Morning

1. I chose B, coz at 25th percentile, it starts over 5m which is the minimum value requirement.

==Agree

 

 

Afternoon

1. stage of life

== I chose source of income...555, he is 50 years old...

 

2. I took a lot of time on this question, but still no clue, so pick up 6.8%, the 3rd choice is 7%.

== I chose 6.4%, no CG tax, I just did 8%*(1-20%)....

 

3. no clue neither, pick up 15%, seems wrong, should be 30%...

== I did calculation and my result is 15%... not sure it is right...

[此贴子已经被作者于2011-6-6 23:58:52编辑过]

 

宾客

前面很多人提过一道等价税率的问题，50万升值到500万，realized capital gain tax是20%。

这题应该选18%。可惜我错了。

9%是迷惑选项。事实上选9%的人，算的值都是10点几，近似选的9%。

18%是可以完美得出的。

sheila18

QUOTE:

以下是引用lululi在2011-6-7 0:30:00的发言：

 

how did you calculated the 15%?

swinerton

QUOTE:

以下是引用lululi在2011-6-7 0:30:00的发言：

 

但是他们的首要目标是不要outlive其次才是累积5百万刀。 所以最重要的是不能portfolio有见底的情况。

lululi

QUOTE:

以下是引用sheila18在2011-6-7 0:34:00的发言：

how did you calculated the 15%?

 

aftertax value x= (1+cg return+income return (1-income return tax)^n

before tax value  y=(1+ cg return + income return)^n

 

tax drag= y-x/y-1

 

 

sheila18

QUOTE:

以下是引用swinerton在2011-6-7 0:40:00的发言：

但是他们的首要目标是不要outlive其次才是累积5百万刀。 所以最重要的是不能portfolio有见底的情况。

同意，做过原题

sheila18

QUOTE:

以下是引用lululi在2011-6-7 0:41:00的发言：

 

aftertax value x= (1+cg return+income return (1-income return tax)^n

before tax value  y=(1+ cg return + income return)^n

 

tax drag= y-x/y-1

 

 

但是tax drag 不是随时间增大马，肯定比20%， 25%大阿~我有点confused,为什么算出来是矛盾的~

mathszll

1。 我怎么觉得不同地方的题目差别这么大呀， 我是在london考的。 上午 endowment那个题， 问private donation 和 inflation 对risk tolerance的影响， 可是题目里没有说private donation 和 inflation是增加还是减少， 我回去找了好几遍都没提。

 

2. 下午有个问多少return 被 tax consume的题，说dividend income tax 2%, unrelieased capital gain 没有， relieased CG 20%.

 

3. 有一个问 哪个portfolio 对credit spread 最sensitive？ 哪个portfolio 对 one-time parallel curve move 最immunization？好像给了3个portfolio, 每个里面都有2个treasury, 2个corporate bond, 这2个题都不确定选什么。

 

4.还有那个问那种方法去index的，说是减少rebalance cost and minimize tracking error,我选的stratified, full rep 能用在一个有2000个equity 的index 吗？