judycxy · 2021年06月02日
老师可以解释一下紫色划线的这句话吗？ "The observed relationship that the allocation to corporate bonds declines with increasing surplus return can be explained by the positive correlation of bond price with the value of liabilities. "
Bond price上升，value liabilities 也上升。但是这和对corporate bond的allocation有什么关系呀？？？
郭静_品职助教 · 2021年06月03日
嗨，爱思考的PZer你好：
The observed relationship （that the allocation to corporate bonds declines with increasing surplus return） can be explained by （the positive correlation of bond price with the value of liabilities）.
可以先看一下图中最左侧的点，在surplus optimization中风险最小的点大部分投的都是corporate bond，这是因为ALM的目的就是资产能够cover liability,所以说明了负债的性质类似于corporate bond.也就有了第二个括号中the positive correlation of bond price with the value of liabilities，即bond涨liability也涨。
the allocation to corporate bonds declines with increasing surplus return是说随着风险增大，surplus return增加，corporate bonds的配置比例在逐渐降低。
所以加在一起的逻辑就是：因为liability与bond的性质最为相似（the positive correlation of bond price with the value of liabilities）→surplus optimization中风险最小的点大部分投的都是corporate bond→surplus return增加，风险增大→corporate bonds的配置比例在逐渐降低
----------------------------------------------努力的时光都是限量版，加油！
