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Kate · 2024年08月14日

我看了别的解答。‘B选项就是恶性通胀的意思。’

  1. CFA III
  2. Asset Allocation

NO.PZ2022122801000043

问题如下：

George was recently hired as the investment advisor for the SSR 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. George recommends that the risk-averse SSR board of directors consider adopting a liability-relative method, specifically the hedging/return-seeking portfolio approach. He is considering about allocating Inflation-Index bond to the return-seeking portfolio due to the circumstance:

选项：

A.

economic growth increase

B.volatility of inflation increase C.neither of above

解释：

Market inflation expectations incorporate both changing investor expectations about inflation and changing investor perceptions about the uncertainty of the future inflation environment. the difference between the 10-year UK inflation-linked government bond rate and the 10-year nominal bond rate reflects both investor expectations about the level of future inflation as well as a premium for the uncertainty of future inflation.

为什么‘B选项就是恶性通胀的意思’？


这道题我也选了c 因为只说了inflation volatility 没说increaing volatility.

B的意思是恶性通胀？



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1 个答案

Lucky_品职助教 · 2024年08月15日

嗨，努力学习的PZer你好：


同学你好：


这道题其实是一道AA和CME综合在一起的题目，AA中考察了 hedging/return-seeking，而CME中则考察了 inflation expectation的知识点。

 

现在这个基金处于overfunded的状态，所以建议用 hedging/return-seeking的方式来投资，并且这个pension fund的委员会是risk averse的，同时还有，pension 的特点就是，在overfunded的状态下，它是不需要进行激进投资的，只有在underfunded的状态并且没有contribution的情况，Pension才会不得已投资的激进一下。

所以有一部分资金配置给了inflation-index bond，是为了hedge inflation risk的，所以可以证明，现在的经济环境的特点就是，预计通货膨胀率会波动较大。

 

我们在答题的时候，要非常注意的一点是，一定要根据题干给出的信息来进行推断，题干里没有的，就不需要考虑，就像这道题里，“allocating inflation-index bond to the return-seeking portfolio” 就是这道题想要问的是，为什么会投 inflation-index bond, 再结合3个选项来看，就清楚出题人想要考察的是什么了。我们还是要因题而异的进行判断。这道题里，没有任何信息能够让我们推断出经济会增长。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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