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必过50 · 2023年01月10日

C选项不是比较复杂，要求的成本比较高了

  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.

  • minimize the administrative and investment costs associated with managing the fund.基于这句，C是不是不选，，麻烦老师每个选项都解读一下，谢谢


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1 个答案

lynn_品职助教 · 2023年01月12日

嗨，从没放弃的小努力你好：


  • minimize the administrative and investment costs associated with managing the fund.基于这句，C是不是不选，，麻烦老师每个选项都解读一下，谢谢


这个题目问哪个是最合适的资产配置办法，题干介绍目前资金不足，五年内满足fully funded的状态。


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）。


C选项的缺点虽然是比较贵，但是和尽量减少成本这一点不冲突哈，integrated asset–liability approach也可以在它的情况下尽量减少管理和投资成本。


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