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