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xgxinw · 2025年01月17日

请老师帮忙看一下主观题答案

I recommend allocation 3.

Due to Johansansson recommend the liability-relative approach, specificadlly the hedging return seeking approach, the fund need to allocation its total asset as two part. First part, Market value equals to fund liability value. allocate to fix income in order to fully cover the liability. Second part, remaining surplus can allocate to equity or high yield bond(risky asset), in order to have potential to growth surplus.

the pension fund now has 8.5 billion liability and 10 billion asset, which means need to allocate 85% of the total asset to fix income, which can fully cover its liability, the remaining 15% of the total asset can allocate to risky asset, such as equity and corporate bonds.

So I choose allocation 3



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