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BillZ · 2024年08月06日

integrated asset–liability approach

  1. CFA III
  2. Asset Allocation

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）？

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1 个答案

Lucky_品职助教 · 2024年08月07日

嗨，努力学习的PZer你好：


同学你好：


Integrated ALM 是可以 under funded的，这道题考察的是这几种ALM方法的复杂程度。（具体对比，可以看下面的截图）


Integrated ALM 是一种将资产和负债进行综合考虑和管理的方法或理念，它强调不仅仅孤立地看待资产或者负债，而是将两者作为一个整体来分析和规划。Integrated ALM是最综合、复杂的方法，综合考虑到了AA的各种情况，是动态调整的，资产和负债端联动，通常会用多期的模型“These approaches are often implemented in the context of multi-period models.”。这道题中没有提到复杂和多期，但是这道题中提到了cost，并不是指 transaction costs，而是这三种approach的复杂程度，也就是操作起来所耗费的成本。consider the plan sponsor’s costs 这句话就是让我们通过考察操作成本的角度来进行判断。Integrated ALM 这个方法成本肯定最大，是不适合的。换言之，题目中如果提到复杂和多期，而且不在意成本的话，就可以选Integrated ALM。


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