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.
不是很明白,integrated asset–liability approach也是不能under fund吗?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)?