Chap028博迪凯恩马库斯《投资学》课件

1、CHAPTER 28Investment Policy and the Framework of the CFA InstituteObjectivesPortfolio objectives center on the risk-return trade-off between investors expected return and how much risk they are willing to assumeReturn requirementsRisk toleranceFigure 28.1 CFA Institute Investment Management ProcessT

2、able 28.1 Components of the Investment Management ProcessTable 28.2 Components of the Investment Policy StatementTable 28.3 Determination of Portfolio PoliciesIndividual InvestorsThe basic factors affecting individual investor return requirements and risk tolerance:Life-cycle stateIndividual prefere

3、ncesTable 28.4 Matrix of ObjectivesOther InvestorsPersonal TrustsMutual FundsPension FundsEndowment FundsLife Insurance CompaniesNon-Life Insurance CompaniesBanksLiquidityEase (speed) with which an asset can be sold and created into cashInvestment horizon - planned liquidation date of the investment

4、RegulationsPrudent man lawTax considerationsUnique needsConstraints on Investment PoliciesTable 28.5 Matrix of ConstraintsAsset AllocationSteps:Specify asset classes to be included in the portfolioSpecify capital market expectationsDerive the efficient portfolio frontierFind the optimal asset mixPol

5、icy and TaxesPolicy StatementInstitutions may be governed by boards Issue official statements of investment policyTaxes and Asset AllocationMay need to choose assets based on tax implicationsManaging Portfolios of Individual InvestorsHuman Capital and InsuranceInvestment in ResidenceSaving for Retir

6、ement and the Assumption of RiskRetirement Planning ModelsManage your own Portfolio or Rely on OthersTax Sheltering for Individual InvestorsTax-deferral option - controlling the timing of gains on investments.Tax-deferred retirement plansIRAsKeogh plansDeferred annuitiesFixedVariableVariable and uni

7、versal life insurancePension FundsDefined contribution plansInvestment policy is essentially the same as for a tax-qualified individual retirement accountDefined benefit plansContractual arrangement setting out the rights and obligations of all partiesPension Funds ContinuedPension investment strategiesDefined contribution versus defined benefitContingent immunizationInvesting in equitiesInvestments for the Long RunAdvice from the mutual fund industryInvestment horizon determines which risk-free rate t