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胖丁 · 2022年11月12日

他这个座位一个企业的pension，需要用到intergrated的方法吗？这种不一般都用作银行保险公司这样的复杂资产负债表公司吗

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000301

问题如下：

From the description of Sabonete’s objectives for the SPP, the most appropriate asset allocation approach is:

选项：

A.mean–variance optimization. B.a basic two-portfolio approach. C.an integrated asset–liability approach.

解释：

SoluC is correct. Based on the objectives described, the integrated asset–liability approach is the most appropriate asset allocation approach for the SPP, which is currently under-funded and seeks to achieve fully funded status in five years. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.

C is correct. Based on the objectives described, the integrated asset–liability approach is the most appropriate asset allocation approach for the SPP, which is currently under-funded and seeks to achieve fully funded status in five years. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.

A is incorrect. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities.

B is incorrect. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.

他这个座位一个企业的pension，需要用到intergrated的方法吗？这种不一般都用作银行保险公司这样的复杂资产负债表公司吗

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lynn_品职助教 · 2022年11月13日

嗨，努力学习的PZer你好：


是的，书上是提到过这个结论，Integrated ALM适用于银行和保险公司（尤其是财产/灾害保险）。

但这道题主要是用排除法，首先小于0，排除B，此次S同学目标是Cover liability，（Sabonete’s goal of fully funding the liabilities），排除A（不是ALM）。

书上对Integrated ALM方法没有过多展开，只说了是最综合、复杂的方法，综合考虑到了AA的各种情况，是动态调整的，资产和负债端联动，通常会用多期的模型。因此做这种题我们只能多从题干给的条件用用排除法找到最合适的。

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