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梁 · 2022年02月19日

integrated asset–liability approach 什么时候用

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000105

问题如下：

The asset allocation approach most appropriate for client Kealoha is best described as:

选项：

A.

a surplus optimization approach.

B.

an integrated asset–liability approach.

C.

a hedging/return-seeking portfolios approach.

解释：

C is correct.

The hedging/return-seeking portfolios approach is best for this client. Beade should construct two portfolios, one that includes riskless bonds that will pay of the fixed obligation in 10 years and the other a risky portfolio that earns a competitive risk-adjusted return. This approach is a simple two step process of hedging the fixed obligation and then investing the balance of the assets in a return-seeking portfolio.

integrated asset–liability approach.和 hedging return区别是什么

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郭静_品职助教 · 2022年02月21日

嗨，爱思考的PZer你好：


题目中的信息 The client wants to earn a competitive risk-adjusted rate of return （追求收益）while maintaining a high level of certainty that there will be sufficient assets to meet the fixed obligation （cover负债），所以有两个目标，是hedging/return-seeking的方法。

而integrated asset–liability approach并未提及有两个目标，只是说这是一种全面且复杂的方法，但并未对资产划分为追求收益和cover负债。

这两张表是对这两种方法的高度总结，考前要重点熟悉记忆这个表格，尤其是红色字体部分。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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