NO.PZ2018031301000005
问题如下：
Viktoria Johansson is newly appointed as manager of ABC Corporation’s pension fund. The current market value of the fund’s assets is $10 billion, and the present value of the fund’s liabilities is $8.5 billion. The fund has historically been managed using an asset-only approach, but Johansson recommends to ABC’s board of directors that they adopt a liability-relative approach, specifically the hedging/return-seeking portfolios approach. Johansson assumes that the returns of the fund’s liabilities are driven by changes in the returns of index-linked government bonds. Exhibit 1 presents three potential asset allocation choices for the fund.
Exhibit 1 Potential Asset Allocations Choices for ABC Corp’s Pension Fund
Determine which asset allocation in Exhibit 1 would be most appropriate for Johansson given her recommendation. Justify your response.
选项：
解释：
■ Allocation 3 is
most appropriate.
■ To fully hedge the fund’s liabilities, 85% ($8.5 billion/$10.0 billion) of
the fund’s assets would be linked to index-linked government bonds.
■ Residual $1.5 billion surplus would be invested into a return-seeking portfolio.
The pension fund currently has a surplus of $1.5 billion ($10.0 billion – $8.5 billion). To adopt a hedging/return-seeking portfolios approach, Johansson would first hedge the liabilities by allocating an amount equal to the present value of the fund’s liabilities, $8.5 billion, to a hedging portfolio. The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities, which in this case are the index-linked government bonds.
So, Johansson should allocate 85% ($8.5 billion/$10.0 billion) of the fund’s assets to index-linked government bonds. Te residual $1.5 billion surplus would then be invested into a return-seeking portfolio. Therefore, Allocation 3 would be the most appropriate asset allocation for the fund because it allocates 85% of the fund’s assets to index-linked government bonds and the remainder to a return seeking portfolio consisting of corporate bonds and equities.
对于有surplus的养老金使用 hedging/return-seeking portfolios approach这个方法。
对于hedging 部分考虑完全与liability完全匹配的组合，比如题目中的allocation3 进行匹配。
而对于，surplus部分，可以考虑追求高收益，选allocation2 这个收益最高，sharp ratio 也高，用于profit-seeking?
hedging/return-seeking portfolios approach 先匹配hedging portfolio部分， 另外的部分应该要profit-seeking追求高收益才对呀？
不理解，是不是和讲义里的内容冲突了？
