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cika · 2022年11月30日

请问B是哪一类呢,之前没见过

* 问题详情,请 查看题干

NO.PZ202206210100000401

问题如下:

Which asset allocation approach best describes the asset allocation choice suggested by Black to the board?

选项:

A.Mean–variance B.Asset-segmentation C.Liability-relative

解释:

Solution

C is correct. Investment in fixed-income securities specifically to generate cash distributions to offset the cash disbursements necessary for maintaining university costs in excess of tuition revenue is a liability-relative approach.

A is incorrect. A mean–variance approach is an asset-only approach that does not consider liabilities.

B is incorrect. An asset-segmentation approach is an asset-only approach that does not consider liabilities.

AO 有 mean–variance optimization;reverse optimization;B-L modle;resampled mean–variance optimization。请问B是哪一类呢,之前没见过

1 个答案
已采纳答案

lynn_品职助教 · 2022年12月01日

嗨,爱思考的PZer你好:


没见过其实是正常的哈。现在的考纲中没有 asset-segmentation 这种方法,它属于AO。这道题的关键在前面一个点:


The asset allocation choice should have a heavy emphasis on fixed-income securities with cash distributions(重点放在固定收益产品,要有现金分配). This type of allocation will offset the future cash disbursements necessary to cover costs at the university in excess of tuition revenue.(现金是用来cover大学超出的费用),所以描述的是ALM,用资产的现金流cover负债。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!