cfa三级笔记_原创文档.pdf

cfa三级笔记

MonteCarlosimulation（专题）

定义：MonteCarlosimulationallowsassetmanagertomodelthe

uncertaintyofseveralkeyvariables.Generatesrandomoutcomes

accordingtoassumedprobabilitydistributionforthesekeyvariables.Itis

flexibleapproachforexploringdifferentmarketorinvestmentscenario.

蒙特卡洛模拟是将变量（事先定义好分布）的值随机发射，生成了结

果，可灵活的探索不同市场、投资环境下的状态。

较MVO的优势：

1,Rebalancingandtaxes,Montecarlosimulationallowtoanalyze

differentrebalancingpoliciesandtheircostovertime（inmulti-period

situation）.蒙特卡洛模拟可以用于分析执行不同的再平衡策略、税

收时的影响。

2,Pathdependent.Astherearecashoutfloweachyear,terminal

wealth（theportfolio’svalueatagivenpoint）willbepath-dependent

becauseoftheinteractionofcashflowsandreturns.如果每年都有资

金流出，指定时间的组合价值会受这些资金流出和收益的影响Cash

flowsinandoutofaportfolioandthesequenceofreturnswillhavea

materialeffectonterminalwealth,thisistermedpath-dependent.

3,MonteCarlocanincorporatestatisticalpropertiesoutsidethe

normaldistribution,suchasskewnessandexcesskurtosis.蒙特卡洛模拟

可用于建模非正态分布。

4,MonteCarlosimulationisabletoincorporatetheeffectof

changestovariableovertime,itisamulti-periodframework.MVOisa

single-periodframework,itcannotbeusedtoevaluatethelikelihoodof

thefoundationdroppingbelow5mdesiredspendingleverinthefuture.

蒙特卡洛模拟可包含不同变量长时间变化的影响。

MonteCarloSimulation结果显示成功率低，如何解决？

1,increasingtheamountofcontributionforthegoal.

2,reducingthegoalamount,reducethesizeoftheirinvestment

portfolioneededwhenretirebyacceptingalowerstandardofliving.

3,delayingthetimeofgoal.

4,adoptinganinvestmentstrategywithhigherexpectedreturn,

withintheclientsacceptablerisktoleranceandriskcapacity.

MonteCarloSimulation的优缺点

Advantage:

1,applicabilitytotheclientsactualas