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leon奋斗 · 2024年02月08日

请问,B错在哪里

NO.PZ2022122801000039

问题如下:

Client Haunani Kealoha has a large fixed obligation due in 10 years. Beade assesses that Kealoha has substantially more funds than are required to meet the fixed obligation. The client wants to earn a competitive risk-adjusted rate of return while maintaining a high level of certainty that there will be sufficient assets to meet the fixed obligation.

The asset allocation approach most appropriate for client Kealoha is best described as:

选项:

A.

a surplus optimization approach.

B.

an integrated asset–liability approach.

C.

a hedging/return-seeking portfolios approach.

解释:

C is correct. The hedging/return-seeking portfolios approach is best for this client. Beade should construct two portfolios, one that includes riskless bonds that will pay of the fixed obligation in 10 years and the other a risky portfolio that earns a competitive risk-adjusted return. This approach is a simple two-step process of hedging the fixed obligation and then investing the balance of the assets in a return-seeking portfolio.

请问,B错在哪里

1 个答案
已采纳答案

lynn_品职助教 · 2024年02月09日

嗨,努力学习的PZer你好:


请问,B错在哪里


integrated asset-liability,是综合考量了asset和liability的方法,


1、因为是综合,所以特征不明显,一般是排除法,排除hedging/return-seeking和surplus后选择B选项


2、虽然integrated asset-liability综合了两个方法的优点,但是操作起来比较复杂,所以通常用于银行和保险公司,相关决策与全面风险管理体系挂钩。


题干中的方法是a simple two step process,把资产配置拆成了两个部分,分别有各自的目标,


非常明显的hedging/return-seeking方法的特征,因此B不正确。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!