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awen · 2023年08月23日

这题怎么知道是给哪个部分配置资产?

NO.PZ2022122801000040

问题如下:

Sarzi was recently hired as the investment advisor for the ZTA Corporation pension fund. The current market value of the pension fund’s assets is USD 10 billion, and the present value of the fund’s liabilities is USD 8 billion. The fund has been managed using an asset-only approach, but Sarzi recommends that the risk-averse ZTA board of directors consider adopting a liability-relative method, specifically the hedging/return-seeking portfolio approach.

Sarzi assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. Exhibit 2 presents three potential asset allocation choices for the pension fund.

Exhibit 2 Potential Asset Allocation Choices for ZTA Corporation’s Pension Fund

B. Determine which asset allocation would be most appropriate for the pension fund given Sarzi’s recommendation. Justify your response.

选项:

解释:

题干读完,我以为是给return-seeking那部分配置资产,所以我选了portfolio3,因为他有最大的expected return,看了答案是给第一部分asset cover liability配置资产,这部分肯定是A要匹配L了,但是考试的时候,我怎么看的出来是给哪部分做资产配置?

这个hedging的策略,2步配置思路不一样吧?

我理解是:对于第一步asset cover liability配置资产,需要A匹配L了。

对于第二步,则寻找更大的expected return,或sharp ratio,对啊吗?

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已采纳答案

lynn_品职助教 · 2023年08月24日

嗨,从没放弃的小努力你好:


这个hedging/return-seeking 是不是默认就是给第一步配置啊?没有特别说明,都是先配置第一步,让a cover l? (我以为第一步已经配好了(默认完成了))


第一步和第二步两个都要考虑的。

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lynn_品职助教 · 2023年08月24日

嗨,努力学习的PZer你好:


题干读完,我以为是给return-seeking那部分配置资产,所以我选了portfolio3,因为他有最大的expected return,看了答案是给第一部分asset cover liability配置资产,这部分肯定是A要匹配L了,但是考试的时候,我怎么看的出来是给哪部分做资产配置?


这个hedging的策略,2步配置思路不一样吧?


我理解是:对于第一步asset cover liability配置资产,需要A匹配L了。


对于第二步,则寻找更大的expected return,或sharp ratio,对啊吗?


对呀,同学考虑的完全正确。要全面考虑到。


hedging/return-seeking 首先要考虑的是hedging portfolio,只有liabilities全部覆盖了,多出来的部分才能进行return-seeking。


现在fund liabilities占 80% ,并且文中说 Sarzi assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds.也就是说能够很好地匹配fund liabilities的是 index-linked government, 而Allocation 2的 index-linked government占比正好是80%,所以最合适。


假如有两个都是 index-linked government占比正好是80%,那么再找sharp ratio最大的。

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