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

Sunnie · 2023年12月26日

DB plan为什么不能用 Integrated 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.

surplus optimization 的缺点之一就是假设 A/L线性关系,但是DB plan的资产和负债关系应该比较复杂吧?为什么还建议用该方法呢

1 个答案

lynn_品职助教 · 2023年12月28日

嗨,爱思考的PZer你好:


surplus optimization 的缺点之一就是假设 A/L线性关系,但是DB plan的资产和负债关系应该比较复杂吧?为什么还建议用该方法呢


1. 线性关系指的是两两资产的return之间的相关性是线性的。


线性和资产负债关系无关。


要注意,ρ(最准确的称呼是 Pearson相关系数)在数学中衡量的是线性相关性:两个变量,两者的关系可用一条直线近似表示,所以叫线性关系。相关系数还可以用其它指标来衡量,这些指标衡量的就不一定是线性关系了。 surplus optimization 用到了ρ这个参数,所以是线性关系。另两种方法不一定会用到ρ。


2. 不管surplus是正是负, surplus optimization 的目标都是最大化surplus utility。如果A小于L ,那就是使负数更小。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 240

    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