NO.PZ2022122801000042
问题如下：
Anna 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. Anna recommends that the risk-averse
ZTA board of directors consider adopting a liability-relative method,
specifically the hedging/return-seeking portfolio approach. The duration of the
pension liability is 3. Exhibit 1 presents three potential asset allocation
choices for the pension fund.
which Portfolio would be most appropriate for the hedging portfolio?
选项：
A.Portfolio A
Portfolio B
Portfolio C
解释：
The hedging portfolio must include assets whose returns are driven by the same factors that drive the returns of the liabilities.
1）Asset匹配Liability，Asset的Duration应该近似于但是略小于Liability的duration，这样资产可以提前到期用于偿还负债吧？
2）portfolio B的duration3.06大于负债的duration3，可能会出现负债到期需要偿还但是资产投资期还没结束没有流动资金还债的情况。
