NO.PZ2022122801000040
问题如下：
Sarzi was recently hired as
the investment advisor for the ZTA Corporation pension fund. The current market
value of the pension fund’s assets is USD 10 billion, and the present value of
the fund’s liabilities is USD 8 billion. The fund has been managed using an
asset-only approach, but Sarzi recommends that the risk-averse ZTA board of
directors consider adopting a liability-relative method, specifically the
hedging/return-seeking portfolio approach.
Sarzi assumes that
the returns of the fund’s liabilities are driven by changes in the returns of
index-linked government bonds. Exhibit 2 presents three potential asset
allocation choices for the pension fund.
Exhibit 2 Potential Asset Allocation Choices for ZTA Corporation’s
Pension Fund
B. Determine which
asset allocation would be most appropriate for the pension fund given Sarzi’s
recommendation. Justify your response.
选项：
解释：
题干读完，我以为是给return-seeking那部分配置资产，所以我选了portfolio3，因为他有最大的expected return，看了答案是给第一部分asset cover liability配置资产，这部分肯定是A要匹配L了，但是考试的时候，我怎么看的出来是给哪部分做资产配置？
这个hedging的策略，2步配置思路不一样吧？
我理解是：对于第一步asset cover liability配置资产，需要A匹配L了。
对于第二步，则寻找更大的expected return，或sharp ratio，对啊吗？
