从哪里得知 SPP is currently under-funded？

NO.PZ202206210100000301 问题如下 Sabonete Case ScenarioSabonete, S.A., is a multi-nationconsumer procts company heauarterein Lisbon, Portugal, with annurevenue of approximately €2 billion. Over the past severyears, the company’s growth strategy hcentereon expanng market share in emerging markets. Over half of revenues are from emerging markets, anthe remainr are from velopeEuropeeconomies. Oni Falana serves the chief investment officer of Sabonete’s finebenefit pension pl(SPP). Falana hengageoutsi consultant, Isabel Horvath, for assistanwith asset allocation. Falana scribes to Horvath the company’s key objectives with respeto the SPP: reafully fun(100%) status in five years, whipoint the liabilities will fully heeminimize fluctuations in expecteyear-to-yerequirecontributions, aninimize the ainistrative aninvestment costs associatewith managing the fun Falana provis Horvath with the following key facts anassumptions regarng Sabonete anthe SPP: The funis closeto new employees, but existing employees continue to accrue benefits unr the originterms.The funis 90% fun(€5 billion in assets anaccruebenefit obligation of €5.55 billion). A €75 million contribution will ma to the funthe enof this quarter. Future contributions are likely to substantially smaller.The average participant is 45 years ol anemployee turnover hbeen low.The salary growth rate is 3.2%The liability scount rate, currently 3.5%, is benchmarketo 10-yecorporate bon.The risk-free rate is currently 3.0%, anshort-term interest rates are expecteto remain stable. The current asset allocation another statisti(expectereturn, volatility, ancorrelation with globequities) of eaasset class are incatein Exhibit 1.Exhibit 1 SPP Current Asset Allocation anOther StatistiAsset ClassHorvath starts preparing economic balansheet for the SPP anmakes the following notes:· Emerging market equities have a 10% weight in the globmarket portfolio. However, given the firm’s familiarity with anthe opportunities they perceive in emerging markets, the SPP hhistorically been over-weighte(25%) in this asset class. · 60% of company revenue is from sales in emerging markets, of whihalf is attributable to sales in AfricThe revenue growth rate for Sabonete’s Africbusiness is high but very volatile. The firm’s revenues anprofitability are quite sensitive to emerging markets.· The firm hsignificant investments in Africreestate. It recently acquireseverlarge parcels of lanin Afrifor €200 million anis planning to make a major investment in new manufacturing facilities to boost margins. Baseon these factors anthe information from Exhibit 1, Horvath presents the current asset allocation of the plalong with two other options for consiration (see Exhibit 2).Exhibit 2 Current anProposeAsset Allocation OptionsRecee Rall, analyst in SPP’s pension office, makes the following statements regarng Option 1: Horvath states, “Option 1 provis a 95% probability of meeting the goof reaching fully funstatus in five years, but interim contributions are likely to quite variable. Option 2 is likely to result in a more stable contribution rate but with a lower probability of meeting the funng goal.” Falana plans to recommenOption 2, believing ththe greater certainty of meeting the requireyear-to-yecontributions is the more important objective. She asks Rall to recommena rebalancing polifor Option 2. He proposes the ranges shown in Exhibit 3 anprovis estimate of the relatetransaction costs.Exhibit 3 Rebalancing Ranges for Option 2Rall justifies his recommention on the basis of the following statements:A wi rebalancing range for globfixeincome is appropriate because of its low volatility, low transaction costs, anlow correlation with other asset classes in the portfolio. The allocation for private equity is challenging because a low-cost passive investment vehicle es not exist anmoling with a private equity inx captures only the return aspects of private equity without appropriate representation of risk. Falana scusses the recommenasset allocation with the Pension Committee. A new committee member, James Alessano, states thhis preferenwoulOption 1 because the best pension fun have aptethe enwment mol of asset allocation, whiha higher allocation to alternative investments. Question From the scription of Sabonete’s objectives for the SPP, the most appropriate asset allocation approais: A.mean–varianoptimization. B.a basic two-portfolio approach. C.integrateasset–liability approach. SoluC is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.C is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.A is incorrect. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities.B is incorrect. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio. 如题。已知mvo为asset only的方法，surplus为liability iven的方法，但请助教进行进一步区分、最终不都是mvo最优化的方法么？

NO.PZ202206210100000301 问题如下 From the scription of Sabonete’s objectives for the SPP, the most appropriate asset allocation approais: A.mean–varianoptimization. B.a basic two-portfolio approach. C.integrateasset–liability approach. SoluC is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.C is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.A is incorrect. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities.B is incorrect. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio. 看了助教们的，依然不理解B和C。B的方法，讲义上也说可以unr fun况呀，为什么直接就排除了呢？。另外从我们正常做题角度来看，肯定都是顺着题目，现在是需要通读全文才能判断题目吗？我发现三级课后题目，很多答题对应的信息点都不像2级，很多前前后后都有，考试也是吗

NO.PZ202206210100000301问题如下 From the scription of Sabonete’s objectives for the SPP, the most appropriate asset allocation approais: A.mean–varianoptimization.B.a basic two-portfolio approach.C.integrateasset–liability approach. SoluC is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.C is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.A is incorrect. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities.B is incorrect. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio. 老师好。这道题提到目标是fully heecover liability，也不是问现在，那么将来用two portfolio mol不是最好了吗？

NO.PZ202206210100000301 问题如下 From the scription of Sabonete’s objectives for the SPP, the most appropriate asset allocation approais: A.mean–varianoptimization. B.a basic two-portfolio approach. C.integrateasset–liability approach. SoluC is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.C is correct. Baseon the objectives scribe the integrateasset–liability approais the most appropriate asset allocation approafor the SPP, whiis currently unr-funanseeks to achieve fully funstatus in five years. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio.A is incorrect. Mean–varianoptimization is asset-only approato asset allocation anfails to consir Sabonete’s goof fully funng the liabilities.B is incorrect. The basic two-portfolio approaassumes the pension plha surplus thcallocateto a return-seeking portfolio. minimize the ainistrative aninvestment costs associatewith managing the fun基于这句，C是不是不选，，麻烦老师每个都解读一下，谢谢