NO.PZ202206210100000301
问题如下：
From the description of Sabonete’s objectives for the SPP, the most appropriate asset allocation approach is:
选项：
A.mean–variance optimization.
B.a basic two-portfolio approach.
C.an integrated asset–liability approach.
解释：
SoluC is correct. Based on the objectives described, the integrated asset–liability approach is the most appropriate asset allocation approach for the SPP, which is currently under-funded and seeks to achieve fully funded status in five years. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.
C is correct. Based on the objectives described, the integrated asset–liability approach is the most appropriate asset allocation approach for the SPP, which is currently under-funded and seeks to achieve fully funded status in five years. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.
A is incorrect. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities.
B is incorrect. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.
这题出的很严谨，B项说的是Basis two portfolio，如果是extend如partial/dynamic hedged才不要求必须cover liability。以前学到60%的程度可能擦边过，但现在需要向100%努力，100%没准儿才可以掌握80%，考场还要打折扣。
