Lucky_品职助教 · 2024年07月15日
嗨，爱思考的PZer你好：
同学你好：
BPV是固收科目中的知识点，而这道题是AA的题目，我们答题的时候需要先判断清楚是哪个科目，然后再根据其中的知识点来进行解答。
这道题其实非常简单，考察的知识点就是hedging/return-seeking portfolio approach中我们需要cover liability，hedging portfolio的影响因素应当与liability的影响因素相同。
其实就考了题干中的一句话，
The duration of the pension liability is 3
所以我们在cover liability时，应该选择Asset Duration 与 Liability duration 最相近的，这里面只有B选项的3.06与3最为接近。
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2022122801000042 问题如下 Anna wrecently hireasthe investment aisor for the ZTA Corporation pension fun The current marketvalue of the pension funs assets is US10 billion, anthe present value ofthe funs liabilities is US8 billion. Anna recommen ththe risk-averseZTA boarof rectors consir apting a liability-relative methospecifically the heing/return-seeking portfolio approach. The ration of thepension liability is 3. Exhibit 1 presents three potentiasset allocationchoices for the pension funwhichPortfolio woulmost appropriate for the heing portfolio? A.Portfolio B.Portfolio C.Portfolio The heing portfolio must inclu assets whose returns are iven the same factors thive the returns of the liabilities. 1）Asset匹配Liability，Asset的ration应该近似于但是略小于Liability的ration，这样资产可以提前到期用于偿还负债吧？2）portfolio B的ration3.06大于负债的ration3，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。
NO.PZ2022122801000042问题如下 Anna wrecently hireasthe investment aisor for the ZTA Corporation pension fun The current marketvalue of the pension funs assets is US10 billion, anthe present value ofthe funs liabilities is US8 billion. Anna recommen ththe risk-averseZTA boarof rectors consir apting a liability-relative methospecifically the heing/return-seeking portfolio approach. The ration of thepension liability is 3. Exhibit 1 presents three potentiasset allocationchoices for the pension funwhichPortfolio woulmost appropriate for the heing portfolio? A.Portfolio AB.Portfolio BC.Portfolio The heing portfolio must inclu assets whose returns are iven the same factors thive the returns of the liabilities. ？？请问这题说了个啥
