CFA三级写作课后题（2020.12）6.pdf

2020 年12 月CFA 三级写作题 FIXED INCOME PORTFOLIO MANAGEMENT 今年由于疫情的缘故，CFA 考试被迫延期。虽然给了大家更多的复习时间，但也不可掉 以轻心。近年来，CFA 考试的难度在逐步提高，并且在三级中更偏向实务与理论结合的考察。 相比2019 年考纲，2020 年考纲发生了较多的变化。其中关于经济学的部分，更名为资本市 场预期，并进行了重大改变；衍生产品与资产配置中的外汇管理合并在一起，并进行了较大 的改写；另类投资的内容完全重新改写；交易与业绩评估合并在一起，并重新编写。而一向 是考试重点的私人财富管理和机构组合管理也发生了较大变化，其中私人财富管理的第一个 Reading 重新编写，而机构组合管理也进行了重新编写，这些变化需引起考生重视。为了全 面应对考试，我们全面推出了的各种学习平台，如金程网校、手机APP、金程CFA 答疑等活 动，请各位充分利用。如有学术问题，请登录至金程网校提问。祝大家好运，顺利通过CFA 三级考试，加油！ 1-11 Fixed income Portfolio Management Case 1: Chaopraya Av Chaopraya Av is an investment advisor for high-net-worth individuals. One of her clients, Schuylkill Cy, plans to fund her grandson’s college education and considers two options: Option 1 Contribute a lump sum of $300,000 in 10 years. Option 2 Contribute four level annual payments of $76,500 starting in 10 years. The grandson will start college in 10 years. Cy seeks to immunize the contribution today. For Option 1, Av calculates the present value of the $300,000 as $234,535. To immunize the future single outflow, Av considers three bond portfolios given that no zero-coupon government bonds are available. The three portfolios consist of non-callable, fixed-rate, coupon-bearing government bonds considered free of default risk. Av prepares a comparative analysis of the three portfolios, presented in Exhibit 1. Exhibit 1 Results of Comparative Analysis of Potential Portfolios Portfolio A Portfolio B Portfolio C Market value $235,727 $233,428 $235,306 Cash flow yield 2.504% 2.