NO.PZ2022122801000041
问题如下：
PZ is the sponsor of a $1.25 billion
legacy DB plan, which is now frozen. The funded ratio is 0.8. The plan sponsor, receives three asset allocation approaches
recommendations:
•
a surplus optimization approach.
•
an integrated asset–liability approach.
•
a hedging/return-seeking portfolios approach.
When evaluate asset allocation choices, consider the plan
sponsor’s costs.
Determine which asset allocation approach would be most appropriate for the pension fund. Justify your response.
选项：
解释：
Surplus optimization approach is the most appropriate.
Surplus optimization does not require an overfunded status, while implementation of the basic two-portfolio approach depends on having an overfunded plan.
Integrating the liability portfolio with the asset portfolio, is the most comprehensive of the three approaches, but increased complexity.
while implementation of the basic two-portfolio approach depends on having an overfunded plan.
这里没有规定一定要basic approach，也可以用partial hedge & dynamic version啊，这样可以用一部分高风险去博高收益，然后COVER UNFUNDED的部分啊。为什么不能选hedging&return seeking这种方式？
