Publicação
Investment policy statement for individual investors : Mr. James Smith
| Resumo: | This investment policy statement (IPS) is a written document produced by the financial advisor Buffett and concerns Mr. James' investment objectives and take into account his investment time horizon, and other constraints that apply to his portfolio. This IPS creates a link between Mr. James’ unique considerations and the advisor’s strategic asset allocation. This IPS also serves as an operating manual, listing key ongoing management duties and responsibilities of both Buffett and Mr. James. They should review the IPS regularly and update it whenever important changes occur in Mr. James’s circumstances or in the capital markets environment that impact the investment strategy. Mr. James' current portfolio value is approximately $2,500,000. He is expected to spend $500,000 in 6 years and $1,000,000 in 12 years. The designated cash flows are exactly hedged by Apple bonds. He also expects to have a comfortable lifestyle after retirement. In this case, Buffett uses the mean-variance optimization (MVO) approach to build an optimized portfolio by selecting ETFs related to the U.S. bonds index, equity index, and European stock index. The optimized portfolio has an expected annual return of 7.17% and an expected volatility of 8.50%. To evaluate the risk metrics related to the optimized portfolio, Buffett calculates return-at-risk (RaR) and expected shortfall using two approaches: historical simulation and Monte Carlo. |
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| Autores principais: | Wu, Yan |
| Assunto: | Asset Management Portfolio Theory IPS Individual Investors CFA Gestão de Ativos Teoria de Portfólio IPS Investidores Individuais CFA |
| Ano: | 2024 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | This investment policy statement (IPS) is a written document produced by the financial advisor Buffett and concerns Mr. James' investment objectives and take into account his investment time horizon, and other constraints that apply to his portfolio. This IPS creates a link between Mr. James’ unique considerations and the advisor’s strategic asset allocation. This IPS also serves as an operating manual, listing key ongoing management duties and responsibilities of both Buffett and Mr. James. They should review the IPS regularly and update it whenever important changes occur in Mr. James’s circumstances or in the capital markets environment that impact the investment strategy. Mr. James' current portfolio value is approximately $2,500,000. He is expected to spend $500,000 in 6 years and $1,000,000 in 12 years. The designated cash flows are exactly hedged by Apple bonds. He also expects to have a comfortable lifestyle after retirement. In this case, Buffett uses the mean-variance optimization (MVO) approach to build an optimized portfolio by selecting ETFs related to the U.S. bonds index, equity index, and European stock index. The optimized portfolio has an expected annual return of 7.17% and an expected volatility of 8.50%. To evaluate the risk metrics related to the optimized portfolio, Buffett calculates return-at-risk (RaR) and expected shortfall using two approaches: historical simulation and Monte Carlo. |
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