NO.PZ2022122801000004
问题如下：
Fox is in the process of
hiring an asset allocation analyst and has just completed interviewing two
candidates, Ambrose Kelly and Catherine Trainor, for the position. Fox reminded
the candidates that in addition to high-net-worth individuals, the firm’s
client base also includes various institutional investors. The candidates made the
following statements:
Trainor: A goals-based approach
to asset allocation is appropriate for individual investors, but institutions
need to focus either on the asset or liability side of the balance sheet,
depending on the nature of their business.
Kelly: A typical objective of
some institutions is to maximize their Sharpe ratio for an acceptable level of
volatility, and they rely on the law of large numbers to assist them in
modeling their liabilities. Other institutions behave much like individuals by
segmenting general account assets into sub-portfolios associated with specific
lines of business with their individual return objectives.
The most appropriate statement in regards to approaches to asset allocation by institutions is made by:
选项：
A. Kelly, regarding their goals-based allocations.
Trainor.
Kelly, regarding the Sharpe ratio and modeling of liabilities.
解释：
分析Trainor的陈述：
Trainor表示，基于目标的资产配置方法适合个人投资者，而机构投资者得依据自身业务性质，侧重于资产负债表的资产方或者负债方。
这种观点有两个地方不合适。第一个是，机构投资者资产配置有AO和ALM两种方法，AO方法只看资产端，ALM要专注于资产和负债两端，两端要匹配，所以正确的表述应该是：focus either on the asset or the relation of asset and liability of the balance sheet。第二个是，观点过于片面，机构资产配置也可以采用多种灵活方式，包括基于目标的配置方式。
分析Kelly陈述的第一部分：
Kelly称，一些机构的典型目标是在可接受的波动水平下使夏普比率最大化，并且它们依靠大数定律来辅助进行负债建模。
这个观点是错误的。大数定律通常用于描述大样本数量下的随机现象，而不是用于建模负债。建模负债通常涉及使用财务模型和风险管理方法，而不是依赖于大数定律。并且我们也不太用最大化夏普比率，MVO中也是最大化utility，这里也不是最佳选项。
分析Kelly陈述的第二部分：
Kelly还提到，其他机构的做法很像个人投资者，会把普通账户资产划分成与特定业务线相关且各有其单独收益目标的子投资组合。
这个论述是正确的。确实有一些机构会依据不同业务线或者目标来划分它们的投资组合。比如，一家银行可能会针对其住房抵押贷款业务有一个投资组合，针对企业贷款业务又有另一个投资组合，每个投资组合都有各自的收益和风险目标。或是保险公司也会将其总账资产分成与特定业务线或负债块相关的子组合，每个子组合都有自己的回报目标。这种方法可以更好地管理风险和优化回报，确保每个子组合的需求得到有针对性和高效的满足。
绿色阴影部分，用大数定律估计，和大数定律建模不是一个意思？建模不是为了估计吗？
