NO.PZ202212280100002002
问题如下：
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)
选项：
解释：
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.
The board notes that the pension plan has below-average risk tolerance. The ALM can match asset to liabilities and minimize the risk of shortfall and contribution of the pension plan compared to AO. Pension Plan has a legal liability, by aligning the asset to liability can better match the legal payment annually.
