NO.PZ2022122801000050
问题如下：
Mukasa serves as a trustee
of Channel’s defined-benefit pension plan. The plan is legally distinct from
Channel’s assets. The company has made contributions sufficient to maintain a fully
funded status. It is a tax-exempt fund and must hold 20% of its assets in
domestic government bonds in order to maintain its tax-exempt status. The
plan’s key objective is to meet current and future pension obligations. The
plan’s current allocation is 60% global equities, 20% domestic government
bonds, 15% domestic corporate bonds, and 5% cash. (2020 mock PM)
Which approach is least relevant to a strategic allocation for Channel’s pension plan?
选项：
A.Shortfall risk.
Heuristic approach.
Surplus optimization.
解释：
A heuristic approach is least relevant. Heuristics refers to rules that provide a reasonable but not necessarily optimal solution. Some investors may skip the various optimization techniques and simply adopt an asset allocation mix (such as the “120 minus your age” rule or a 60/40 stock/bond mix).
Shortfall risk is a liability-relative approach focused on the risk of having insufficient assets to pay obligations when due.
Surplus optimization is a liability-relative allocation approach that involves applying mean-variance optimization (MVO) to an efficient frontier based on the volatility of the surplus (known as surplus volatility or surplus risk) as the measure of risk.
请问老师，哪里的知识点有提到shortfall risk 是一种AA方法？课上讲的AO、ALM、goal-based里都没有提到shortfall risk 这种方法。
