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awen · 2023年08月23日

surplus 方法

  1. CFA III
  2. Asset Allocation

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.

这个方法我有点忘了，在帮我讲一下，怎么操作，尤其是underfunded的情况，资产都不够了，怎么投资啊，就变成了AO的投资模式吗？

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已采纳答案

lynn_品职助教 · 2023年08月24日

嗨，从没放弃的小努力你好：


Surplus optimization中是将A-L得到的surplus看做一个整体，本质上是对组合的surplus进行最优化求解，求的是surplus的效用最大化。如果underfunded，surplus为负，这个方法的目的就是缩小负值。


至于具体的做法其实和surplus为正是一样的，输入变量为E(Rs), σs, ρ，给定公式 Us= E(Rs) – 0.005 λσs2，求最值。

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