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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。

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