AssetAllocationDecision(资产定价-上海交大,蔡明

Lec2TheAssetAllocationDecision曾经到达目标的可能性，是最终到达目标可能性的两倍。---见好就收2Chapter2TheAssetAllocationDecisiona)describethestepsintheportfoliomanagementprocess;b)explaintheneedforapolicystatement;c)explainwhyinvestmentobjectivesshouldexpressedintermsofriskandreturn;d)listthefactorsthatmayaffectaninvestor’srisktolerance;e)capitalpreservation,capitalappreciation,currentincome,andtotalreturn;f)describetheinvestmentconstraintsofliquidity,timehorizon,taxconcerns,legalandregulatoryfactors,anduniqueneedsandpreferences.3FinancialPlanPreliminariesInsuranceLifeinsuranceTermlifeinsurance-Providesdeathbenefitonly.PremiumcouldchangeeveryrenewalperiodUniversalandvariablelifeinsurance–providecashvalueplusdeathbenefit4FinancialPlanPreliminariesInsuranceHealthinsuranceDisabilityinsuranceAutomobileinsuranceHome/rentalinsuranceLiabilityinsurance5FinancialPlanPreliminariesCashreserveTomeetemergencyneedsIncludescashequivalents(liquidinvestments)Equaltosixmonthslivingexpensesrecommendedbyexperts6IndividualInvestorLifeCycleAccumulationphase–earlytomiddleyearsofworkingcareerConsolidationphase–pastmidpointofcareers.EarningsgreaterthanexpensesSpending/Giftingphase–beginsafterretirement7IndividualInvestorLifeCycle253545556575NetWorthAgeAccumulationPhaseLong-term:RetirementChildren’scollegeShort-term:HouseCarConsolidationPhaseLong-term:RetirementShort-term:VacationsChildren’sCollegeSpendingPhaseGiftingPhaseLong-term:EstatePlanningShort-term:LifestyleNeedsGiftsExhibit2.18LifeCycleInvestmentGoalsNear-term,high-prioritygoalsLong-term,high-prioritygoalsLower-prioritygoals9LOSa:ThePortfolioManagementProcess1.Policystatement-Focus:Investor’sshort-termandlong-termneeds,familiaritywithcapitalmarkethistory,andexpectations2.Examinecurrentandprojectedfinancial,economic,political,andsocialconditions-Focus:Short-termandintermediate-termexpectedconditionstouseinconstructingaspecificportfolio3.Implementtheplanbyconstructingtheportfolio-Focus:Meettheinvestor’sneedsattheminimumrisklevels4.Feedbackloop:Monitorandupdateinvestorneeds,environmentalconditions,portfolioperformance10TheNeedForAPolicyStatementHelpsinvestorsunderstandtheirownneeds,objectives,andinvestmentconstraintsSetsstandardsforevaluatingportfolioperformanceReducesthepossibilityofinappropriatebehavioronthepartoftheportfoliomanager11ConstructingAPolicyStatementQuestionsforinvestorstobeanswered:Whataretherealrisksofanadversefinancialoutcome,especiallyintheshortrun?WhatprobableemotionalreactionswillIhavetoanadversefinancialoutcome?HowknowledgeableamIaboutinvestmentsandthefinancialmarkets?12ConstructingAPolicyStatementWhatothercapitalorincomesourcesdoIhave?Howimportantisthisparticularportfoliotomyoverallfinancialposition?What,ifany,legalrestrictionsmayaffectmyinvestmentneeds?What,ifany,unanticipatedconsequencesofinterimfluctuationsinportfoliovaluemightaffectmyinvestmentpolicy?13InputstoPolicyStatementRiskToleranceInvestmentObjectiveConstraintsTaxTimehorizonLiquidity..14LOSd:Listthefactorsthatmayaffectaninvestor'srisktolerance.Risktoleranceisafunctionofthefollowing:Age.Familysituation.Existingwealth.Insurancecoverage.Currentcashreserves.15MeasureYourRiskToleranceP4616LOSc:whyinvestmentobjectivesshouldbeexpressedintermsofriskandreturn.Returnobjectivesmaybestatedinabsoluteterms(dollaramounts)orpercentages.Returnconsiderationsalsocovercapitalpreservation,capitalappreciation,currentincomeneeds,andtotalreturns.Specifyinginvestmentgoalsintermsofjustreturnmayexposeaninvestortoinappropriatehighriskinvestmentstrategies.Also,return-onlyobjectivescanleadtounacceptablebehavioronthepartofinvestmentmanagers,suchasexcessivetradingtogenerateexcessivecommissions17MerillLynchSuggestClientsStockbondsCashConservativeforincome306010Conservativeforincome603010ModerateRisk504010AggressiveRisk604018LOSe:Describethereturnobjectivesofcapitalpreservation,capitalappreciation,currentincome,andtotalreturn.Capitalpreservationistheobjectiveofearningareturnonaninvestmentthatisatleastequaltotheinflationrate.Theconcernhereisthemaintenanceofpurchasingpower.Toachievethisobjective,therateofreturnmustequaltheinflationrate.Capitalappreciationistheobjectiveofearninganominalreturnthatexceedstherateofinflationoversomeperiodoftime.Achievingthisgoalmeansthatthepurchasingpoweroftheinitialinvestmentincreasesovertime,usuallythroughcapitalgains.19LOSe:Describethereturnobjectivesofcapitalpreservation,capitalappreciation,currentincome,andtotalreturn.Currentincomeistheobjectiveofearningareturnonaninvestmentforthepurposeofgeneratingincome.Thecurrentincomeobjectiveisusuallyappropriatewhenaninvestorwantsorneedstosupplementothersourcesofincometomeetlivingexpensesorsomeotherplannedspendingneed.Totalreturnistheobjectiveofhavingaportfoliogrowinvaluetomeetafutureneedthroughbothcapitalgainsandthereinvestmentofcurrentincome.Thetotalreturnobjectiveisriskierthantheincomeobjective,butlessriskythanthecapitalappreciationobjective.20LOSf:Discusstheinvestor'sinvestmentconstraintsLiquidityneedsVarybetweeninvestorsdependingup