NO.PZ2022122801000040
问题如下：
Sarzi 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. The fund has been managed using an
asset-only approach, but Sarzi recommends that the risk-averse ZTA board of
directors consider adopting a liability-relative method, specifically the
hedging/return-seeking portfolio approach.
Sarzi assumes that
the returns of the fund’s liabilities are driven by changes in the returns of
index-linked government bonds. Exhibit 2 presents three potential asset
allocation choices for the pension fund.
Exhibit 2 Potential Asset Allocation Choices for ZTA Corporation’s
Pension Fund
B. Determine which
asset allocation would be most appropriate for the pension fund given Sarzi’s
recommendation. Justify your response.
选项：
解释：
填选了allocation 2， 但是再进一步考虑allocation 1, 30%现金+60% bond也能超额覆盖80% liability。而且养老金属于需要不断支出，所以是否有留现金的需求。A1和A2比差在哪里呢
