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开泰-王飞 · 2023年07月15日

关于答案A

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000105

问题如下：

The asset allocation approach most appropriate for client Kealoha is best described as:

选项：

A.

a surplus optimization approach.

B.

an integrated asset–liability approach.

C.

a hedging/return-seeking portfolios approach.

解释：

C is correct.

The hedging/return-seeking portfolios approach is best for this client. Beade should construct two portfolios, one that includes riskless bonds that will pay of the fixed obligation in 10 years and the other a risky portfolio that earns a competitive risk-adjusted return. This approach is a simple two step process of hedging the fixed obligation and then investing the balance of the assets in a return-seeking portfolio.

为何surplus方法不行，看之前的解答说这种方法配置出来的资产是60%equity，40%bond不能cover负债，书上并未说surplus配置出来就是6/4的比例啊，而且hedgeing/return seeking方法不是适用于保守投资者吗？这题明显说需要aggressive的回报

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1 个答案

lynn_品职助教 · 2023年07月15日

嗨，爱思考的PZer你好：


为何surplus方法不行，看之前的解答说这种方法配置出来的资产是60%equity，40%bond不能cover负债，书上并未说surplus配置出来就是6/4的比例啊，而且hedgeing/return seeking方法不是适用于保守投资者吗？这题明显说需要aggressive的回报


surplus optimization 是surplus的效用最大化，是MVO方法的延伸，所以通常是用数学方法最大化utility function。最大的区分是surplus可以是负数。


hedging/return-seeking，拆成了hedging portfolio和return-seeking portfolio，hedging部分用于cover liability，return-seeking部分追求收益。


主要是看题干的意思


The client wants to earn a competitive risk-adjusted rate of return （追求收益）while maintaining a high level of certainty that there will be sufficient assets to meet the fixed obligation （cover负债），所以有两个目标，是hedging/return-seeking的方法。





这两张表是对这三种方法的高度总结，我们要结合题干，明白出题人的意思。

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