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awen · 2023年08月23日

surplus 方法

NO.PZ2022122801000041

问题如下:

PZ is the sponsor of a $1.25 billion legacy DB plan, which is now frozen. The funded ratio is 0.8. The plan sponsor, receives three asset allocation approaches recommendations:

a surplus optimization approach.

an integrated asset–liability approach.

a hedging/return-seeking portfolios approach.

When evaluate asset allocation choices, consider the plan sponsor’s costs.

Determine which asset allocation approach would be most appropriate for the pension fund. Justify your response.

选项:

解释:

Surplus optimization approach is the most appropriate.

Surplus optimization does not require an overfunded status, while implementation of the basic two-portfolio approach depends on having an overfunded plan.

Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increased complexity.

这个方法我有点忘了,在帮我讲一下,怎么操作,尤其是underfunded的情况,资产都不够了,怎么投资啊,就变成了AO的投资模式吗?

1 个答案
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:


Surplus optimization中是将A-L得到的surplus看做一个整体,本质上是对组合的surplus进行最优化求解,求的是surplus的效用最大化。如果underfunded,surplus为负,这个方法的目的就是缩小负值。


至于具体的做法其实和surplus为正是一样的,输入变量为E(Rs), σs, ρ,给定公式 Us= E(Rs) – 0.005 λσs2,求最值。

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