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1、n 更多资料请访问.(.)此资料来自：.（.）联系电话：020-.值班手机：13726808999提供50万份管理资料下载3万集企业管理资料下载1300GB高清管理讲座硬盘拷贝证券投资组合课后题及答案1、9. CFA Examination Level IIIMr. Franklin is 70 years of age, is in excellent health, pursues a simple but active lifestyle, and has nochildren. He has interest in a private company for $90 million a
2、nd has decided that a medical researchfoundation will receive half the proceeds now; it will also be the primary beneficiary of his estate upon hisdeath. Mr. Franklin is committed to the foundations well-being because he believes strongly that, throughit, a cure will be found for the disease that ki
3、lled his wife. He now realizes that an appropriate investmentpolicy and asset allocations are required if his goals are to be met through investment of his considerableassets. Currently, the following assets are available for use in building an appropriate portfolio:$45.0 million cash (from sale of
4、the private company interest, net of pending$45 million gift to the foundation)10.0 million stocks and bonds ($5 million each)9.0 million warehouse property (now fully leased)1.0 million Franklin residence（住宅）$65.0 million total available assetsa. Formulate and justify an investment policy statement
5、 setting forth the appropriate guidelineswithin which future investment actions should take place. Your policy statement must encompassall relevant objective and constraint considerations.b. Recommend and justify a long-term asset allocation that is consistent with the investment policystatement you
6、 created in Part a. Briefly explain the key assumptions you made in generating yourallocation.答案At this point we know (or can reasonably infer) that Mr. Franklin is: unmarried (a recent widower) childless 70 years of age in good health possessed of a large amount of (relatively) liquid wealth intend
7、ing to leave his estate to a taxexemptmedical research foundation, to whom he is also giving a large current cash gift free of debt (not explicitly stated, but neither is the opposite) in the highest tax brackets (not explicitly stated, but apparent) not skilled in the management of a large investme
8、nt portfolio, but also not a complete novicesince he owned significant assets of his own prior to his wifes death not burdened by large or specific needs for current income not in need of large or specific amounts of current liquidityTaking this knowledge into account, his Investment Policy Statemen
9、t will reflect these specifics:Objectives:Return Requirements: The incidental throw-off of income from Mr. Franklins large asset pool should provide a more than sufficient flow of net spendable income. If not, such a need can easily be met by minor portfolio adjustments. Thus, an inflation-adjusted
10、enhancement of the capital base for the benefit of the foundation will be the primary return goal (i.e., real growth of capital). Tax minimization will be a continuing collateral goal.Risk Tolerance: Account circumstances and the long-term return goal suggest that the portfolio can take somewhat abo
11、ve average risk. Mr. Franklin is acquainted with the nature of investment risk from his prior ownership of stocks and bonds, he has a still long actuarial life expectancy and is in good current health, and his heir - the foundation, thanks to his generosity - is already possessed of a large asset ba
12、se.Constraints:Time Horizon: Even disregarding Mr. Franklins still-long actuarial life expectancy, the horizon islong-term because the remainder of his estate, the foundation, has a virtually perpetual life span.Liquidity Requirement: Given what we know and the expectation of an ongoing income strea
13、m ofconsiderable size, no liquidity needs that would require specific funding appear to exist.Taxes: Mr. Franklin is no doubt in the highest tax brackets, and investment actions should take thatfact into account on a continuing basis. Appropriate tax-sheltered investment (standing on theirown merits
14、 as investments) should be considered. Tax minimization will be a specific investmentgoal.Legal and Regulatory: Investments, if under the supervision of an investment management firm(i.e., not managed by Mr. Franklin himself) will be governed by state law and the Prudent Personrule.Unique Circumstan
15、ces: The large asset total, the foundation as their ultimate recipient, and thegreat freedom of action enjoyed in this situation (i.e., freedom from confining considerations) areimportant in this situation, if not necessarily unique.9(b). Given that stocks have provided (and are expected to continue
16、 to provide) higher risk-adjustedreturns than either bonds or cash, and considering that the return goal is for long-term, inflationprotectedgrowth of the capital base, stocks will be allotted the majority position in the portfolio.This is also consistent with Mr. Franklins absence of either specific current income needs (theongoing
