No.PZ2022122801000020
In addition to traditional mean-variance analysis, Beveridge also estimates one other form of portfolio optimization: the resampled efficient frontier approach. The board of trustees also asks Beveridge whether an asset/liability management (ALM) approach to strategic asset allocation would be appropriate. The board notes that the pension plan has below-average risk tolerance.
ii. Identify one advantage in Thurlow’s situation of the ALM approach compared to the AO approach. (2008 Q4)
解析
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.
几个问题：
- 题干没给全？（关于#3提到了fixed income）
- 这个还是考点么？要能写出ALM的优点
- MVO存在的问题和对应的解决方案的优点是都需要能当作主观题写出来吗？
