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苏卿 · 2023年07月22日

achieve the greatest probability of maintaining the pension fund

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NO.PZ201909280100000802

问题如下:

2 In answering the question raised in Statement 2, Park would most likely recommend:

选项:

A.

bonds.

B.

hedge funds.

C.

private equities.

解释:

C is correct.

When projecting expected returns, the order of returns from highest to lowest is typically regarded as private equities, hedge funds, bonds. Therefore, the probability of achieving the highest portfolio return while maintaining the funded status of the plan would require the use of private equities in conjunction with public equities. In addition, private equities have a high/strong potential to fulfill the role of capital growth. Fixed-income investments are expected to have a high/strong potential to fulfill the role of safety.

这道题从题干分析,单纯就是让选expected return最高的,根据“PE比hedge fund的return高”这个结论就能解题。这道题没让考虑diversification的问题,题目要求“achieve the greatest probability of maintaining the pension funding status over a long time horizon”,目前funded status是能够不依靠contribution,支付“a number of years”的pension payments,投资目标是希望可以维持这种状态“over a long time horizon”,因为不依靠contribution,那么就只能依靠投资收益,题干又要求“greatest probability”,PE的expected return是最高的,所以选C。

为什么maintaining the pension fund就是要选收益最大的呢?题目只说维持而已,你投资pe波动更大,也可能会亏损更多啊?这还怎么maintain?难道不应该是选择volatility最小的吗?

1 个答案
已采纳答案

伯恩_品职助教 · 2023年07月24日

嗨,爱思考的PZer你好:


因为题目说了第一没有外部contribution,第二是长时间,而且短期(a number of years)是完全能fund pension的支出的。

长期来看,波动是次要因素,能够保持收益才是重点(就比如,20年前买茅台拿到现在,回过头来看茅台短期波动有意义吗?但是如果是明天要用钱,明天要套现,那么波动就很重要。所以长期不看波动,看的是收益)。短期是看波动,不能有任何闪失。用波动最小的收益也会最低,长期就会面临无法cover支出的情况。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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