NO.PZ202206210200000106
问题如下：
Is Browne’s proposed investment objective for the Tucker pension plan most likely appropriate?选项：
A.Yes B.No, the secondary objectives are incompatible. C.No, the proposed required return is inappropriate.解释：
SolutionC is correct. The proposed required return is inappropriate. For any defined benefit plan, the required return should take into account the anticipated change in future liability cash flows and the change in valuation of those cash flows. The cash flows are affected by changes in active employee salaries, changes in active employee longevity, and the rate of inflation (retired employees). The valuation of liability cash flows will change as market interest rates change. In general, the required return for plan assets should exceed the discount rate on plan liabilities. The required return specified in the proposal does not reflect appropriate market interest rates used to discount liability cash flows (investment-grade long-term bond yields) and double counts inflation, which is a primary factor in active employee salary increases.
A is incorrect. The proposed required return is inappropriate.
B is incorrect. The secondary objectives are not incompatible. It is common for a plan that is currently overfunded to want to maintain status quo, and it is common to do so by engaging in ways of minimizing the volatility of the surplus. Most funds also act to minimize the likelihood the plan sponsor would have to increase its contributions; indeed, many will take on additional asset risk to increase plan asset expected returns and decrease sponsor expected contributions. Although these objectives are compatible, they will have to be balanced against one another.
我看答案中说fully-funded的时候asset的required return只需等于负债的折现率即可，那么当over-funded和under-funded的时候asset和liability分别应该选择怎样的折现率合适？
