开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 1

    关注
  • 302

    浏览
相关问题

NO.PZ2022122801000041 问题如下 PZ is the sponsor of a $1.25 billionlega plan, whiis now frozen. The funratio is 0.8. The plsponsor, receives three asset allocation approachesrecommentions: • a surplus optimization approach.• integrateasset–liability approach.• a heing/return-seeking portfolios approach.When evaluate asset allocation choices, consir the plansponsor’s costs. termine whiasset allocation approawoulmost appropriate for the pension fun Justify yourresponse. Surplus optimization approais the most appropriate.Surplus optimization es not require overfunstatus, while implementation of the basic two-portfolio approapen on having overfunplan.Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increasecomplexity. 不是很明白,integrateasset–liability approach也是不能unr fun?还是只是因为复杂而被排除(题干中也没看到关于复杂程度的描述啊)?

2024-08-06 14:39 1 · 回答

NO.PZ2022122801000041 问题如下 PZ is the sponsor of a $1.25 billionlega plan, whiis now frozen. The funratio is 0.8. The plsponsor, receives three asset allocation approachesrecommentions: • a surplus optimization approach.• integrateasset–liability approach.• a heing/return-seeking portfolios approach.When evaluate asset allocation choices, consir the plansponsor’s costs. termine whiasset allocation approawoulmost appropriate for the pension fun Justify yourresponse. Surplus optimization approais the most appropriate.Surplus optimization es not require overfunstatus, while implementation of the basic two-portfolio approapen on having overfunplan.Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increasecomplexity. two portfolio法中,basic要求overfunvariants不要求overfun题目中没有明确是用basic,那为什么通过funratio=0.8这个条件,把two portfolio法排除了呢

2024-07-14 11:58 2 · 回答

NO.PZ2022122801000041问题如下 PZ is the sponsor of a $1.25 billionlega plan, whiis now frozen. The funratio is 0.8. The plsponsor, receives three asset allocation approachesrecommentions: • a surplus optimization approach.• integrateasset–liability approach.• a heing/return-seeking portfolios approach.When evaluate asset allocation choices, consir the plansponsor’s costs. termine whiasset allocation approawoulmost appropriate for the pension fun Justify yourresponse. Surplus optimization approais the most appropriate.Surplus optimization es not require overfunstatus, while implementation of the basic two-portfolio approapen on having overfunplan.Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increasecomplexity. 这种如果不meet liability penalty 会很高,再加上 pllong term 而不是single perio 所以综合考虑 最全面的方式最好。Integrateapproacassess the probability of not being able to pfuture liabilities when they come e.

2024-06-24 23:44 1 · 回答

NO.PZ2022122801000041 问题如下 PZ is the sponsor of a $1.25 billionlega plan, whiis now frozen. The funratio is 0.8. The plsponsor, receives three asset allocation approachesrecommentions: • a surplus optimization approach.• integrateasset–liability approach.• a heing/return-seeking portfolios approach.When evaluate asset allocation choices, consir the plansponsor’s costs. termine whiasset allocation approawoulmost appropriate for the pension fun Justify yourresponse. Surplus optimization approais the most appropriate.Surplus optimization es not require overfunstatus, while implementation of the basic two-portfolio approapen on having overfunplan.Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increasecomplexity. 可以mol transaction costs进去吗?题目不是说了需要考虑costs,其中不包含transaction costs吗?

2024-05-12 21:08 1 · 回答

NO.PZ2022122801000041 问题如下 PZ is the sponsor of a $1.25 billionlega plan, whiis now frozen. The funratio is 0.8. The plsponsor, receives three asset allocation approachesrecommentions: • a surplus optimization approach.• integrateasset–liability approach.• a heing/return-seeking portfolios approach.When evaluate asset allocation choices, consir the plansponsor’s costs. termine whiasset allocation approawoulmost appropriate for the pension fun Justify yourresponse. Surplus optimization approais the most appropriate.Surplus optimization es not require overfunstatus, while implementation of the basic two-portfolio approapen on having overfunplan.Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increasecomplexity. 答案解析里说heing return-seeking不选是因为要求有over-funstatus,这是基本形式的要求,可是如果考虑到heing return-seeking 方法的变形,unrfun是可以的啊,为什么不选 heing-return seeking 呢。

2024-01-09 19:11 1 · 回答