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证券投资组合课后题及答案1、9.CFAExaminationLevelIIIMr.Franklinis70yearsofage,isinexcellenthealth,pursuesasimplebutactivelifestyle,andhasnochildren.Hehasinterestinaprivatecompanyfor$90millionandhasdecidedthatamedicalresearchfoundationwillreceivehalftheproceedsnow;itwillalsobetheprimarybeneficiaryofhisestateuponhisdeath.Mr.Frankliniscommittedtothefoundation’swell-beingbecausehebelievesstronglythat,throughit,acurewillbefoundforthediseasethatkilledhiswife.Henowrealizesthatanappropriateinvestmentpolicyandassetallocationsarerequiredifhisgoalsaretobemetthroughinvestmentofhisconsiderableassets.Currently,thefollowingassetsareavailableforuseinbuildinganappropriateportfolio:$45.0millioncash(fromsaleoftheprivatecompanyinterest,netofpending$45milliongifttothefoundation)10.0millionstocksandbonds($5millioneach)9.0millionwarehouseproperty(nowfullyleased)1.0millionFranklinresidence（住宅）$65.0milliontotalavailableassetsa.Formulateandjustifyaninvestmentpolicystatementsettingforththeappropriateguidelineswithinwhichfutureinvestmentactionsshouldtakeplace.Yourpolicystatementmustencompassallrelevantobjectiveandconstraintconsiderations.b.Recommendandjustifyalong-termassetallocationthatisconsistentwiththeinvestmentpolicystatementyoucreatedinParta.Brieflyexplainthekeyassumptionsyoumadeingeneratingyourallocation.答案Atthispointweknow(orcanreasonablyinfer)thatMr.Franklinis:•unmarried(arecentwidower)•childless•70yearsofage•ingoodhealth•possessedofalargeamountof(relatively)liquidwealthintendingtoleavehisestatetoataxexemptmedicalresearchfoundation,towhomheisalsogivingalargecurrentcashgift•freeofdebt(notexplicitlystated,butneitheristheopposite)•inthehighesttaxbrackets(notexplicitlystated,butapparent)•notskilledinthemanagementofalargeinvestmentportfolio,butalsonotacompletenovicesinceheownedsignificantassetsofhisownpriortohiswife’sdeath•notburdenedbylargeorspecificneedsforcurrentincome•notinneedoflargeorspecificamountsofcurrentliquidityTakingthisknowledgeintoaccount,hisInvestmentPolicyStatementwillreflectthesespecifics:Objectives:ReturnRequirements:Theincidentalthrow-offofincomefromMr.Franklin’slargeassetpoolshouldprovideamorethansufficientflowofnetspendableincome.Ifnot,suchaneedcaneasilybemetbyminorportfolioadjustments.Thus,aninflation-adjustedenhancementofthecapitalbaseforthebenefitofthefoundationwillbetheprimaryreturngoal(i.e.,realgrowthofcapital).Taxminimizationwillbeacontinuingcollateralgoal.RiskTolerance:Accountcircumstancesandthelong-termreturngoalsuggestthattheportfoliocantakesomewhataboveaveragerisk.Mr.Franklinisacquaintedwiththenatureofinvestmentriskfromhispriorownershipofstocksandbonds,hehasastilllongactuariallifeexpectancyandisingoodcurrenthealth,andhisheir-thefoundation,thankstohisgenerosity-isalreadypossessedofalargeassetbase.Constraints:TimeHorizon:EvendisregardingMr.Franklin’sstill-longactuariallifeexpectancy,thehorizonislong-termbecausetheremainderofhisestate,thefoundation,hasavirtuallyperpetuallifespan.LiquidityRequirement:Givenwhatweknowandtheexpectationofanongoingincomestreamofconsiderablesize,noliquidityneedsthatwouldrequirespecificfundingappeartoexist.Taxes:Mr.Franklinisnodoubtinthehighesttaxbrackets,andinvestmentactionsshouldtakethatfactintoaccountonacontinuingbasis.Appropriatetax-shelteredinvestment(standingontheirownmeritsasinvestments)shouldbeconsidered.Taxminimizationwillbeaspecificinvestmentgoal.LegalandRegulatory:Investments,ifunderthesupervisionofaninvestmentmanagementfirm(i.e.,notmanagedbyMr.Franklinhimself)willbegovernedbystatelawandthePrudentPersonrule.UniqueCircumstances:Thelargeassettotal,thefoundationastheirultimaterecipient,andthegreatfreedomofactionenjoyedinthissituation(i.e.,freedomfromconfiningconsiderations)areimportantinthissituation,ifnotnecessarilyunique.9(b).Giventhatstockshaveprovided(andareexpectedtocontinuetoprovide)higherrisk-adjustedreturnsthaneitherbondsorcash,andconsideringthatthereturngoalisforlong-term,inflationprotectedgrowthofthecapitalbase,stockswillbeallottedthemajoritypositionintheportfolio.ThisisalsoconsistentwithMr.Franklin’sabsenceofeitherspecificcurrentincomeneeds(theongoingcashflowshouldprovideanadequatelevelforcurrentspending)orspecificliquidityneeds.Itislikelythatincomewillaccumulatetosomeextentand,ifso,willautomaticallybuildaliquidemergencyfundforMr.Franklinastimepasses.Sincetheinheritedwarehouseandthepersonalresidencearesignificant(15%)realestateassetsalreadyownedbyMr.Franklin,nofurtherallocationtothisassetclassismade.Itshouldbenotedthatthewarehouseisasourceofcashflow,adiversifyingassetand,probably,amodestinflationhedge.Fortaxreasons,Mr.Franklinmaywishtoconsiderputtingsomedebtonthisasset,freeingadditionalcashforalternativeinvestmentuse.Giventhelong-termorientationandtheabove-averagerisktoleranceinthissituation,about70%oftotalassetscanbeallocatedtoequities(includingrealestate)andabout30%tofixedincomeassets.Internationalsecuritieswillbeincludedinbothareas,primarilyfortheirdiversificationbenefits.Municipalbondswillbeincludedinthefixedincomeareatominimizeincometaxes.Thereisnoneedtopressforyieldi