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尚好的青春 · 2024年01月16日

理由2和3可以解释一下什么意思吗?

  1. CFA III
  2. Asset Allocation

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NO.PZ202212280100002002

问题如下：

ii. Identify one advantage in Thurlow’s situation of the ALM approach compared to the AO approach. (2008 Q4)

选项：

解释：

Asset Liability Management (ALM) is preferred because:

1. ALM reduces risk by explicitly considering the liability exposures of the pension plan.

2. The Asset Only approach can result in inefficient investment policies that may expose the plan to excessive and unrewarded risk relative to liabilities.

3. ALM approaches typically result in an optimal portfolio with a higher fixed income allocation.

理由2和3可以解释一下什么意思吗?

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1 个答案

lynn_品职助教 · 2024年01月16日

嗨，努力学习的PZer你好：


2. The Asset Only approach can result in inefficient investment policies that may expose the plan to excessive and unrewarded risk relative to liabilities.


2.AO方法可能导致投资政策效率低下，可能会存在过度投资或者投资回报不够的风险。因为没有专门cover liability，所以有可能asset的投资没有考虑到匹配负债的风险。


3. ALM approaches typically result in an optimal portfolio with a higher fixed income allocation.


3. ALM方法算出来的投资组合通常会配置较高固定收益。因为固收的风险特征一般和liability比较合适，举个例子DB plan，养老金可能就有付养老金的义务，是固定的现金流支出，那么在用ALM方法的时候就会多配置固收了的意思。

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