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.
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.
DB这种如果不meet liability penalty 会很高，再加上DB plan long term 而不是single period. 所以综合考虑 最全面的方式最好。
Integrated approach can assess the probability of not being able to pay future liabilities when they come due.
