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皓月 · 2025年04月27日

这题为什么不是B

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NO.PZ202301280100000802

问题如下:

TEF’s broad approach to asset allocation can best be described as:

选项:

A.

asset-only.

B.

goals-based.

C.

liability-relative.

解释:

Asset-only approaches to asset allocation focus solely on the asset side of the investor’s balance sheet. Liabilities are not explicitly modeled. Mean–variance optimization (MVO) is the most familiar and deeply studied asset-only approach. MVO considers only the expected returns, risks, and correlations of the asset classes in the opportunity set. In contrast, liability-relative and goals-based approaches explicitly account for the liability side of the economic balance sheet, dedicating assets to meet, respectively, legal liabilities or quasi-liabilities (other needs that are not strictly liabilities but are treated as such) and goals.

他不是列了三个目标吗?

1 个答案

Lucky_品职助教 · 2025年04月27日

嗨,努力学习的PZer你好:


goals - based的资产配置方法强调明确的特定目标,并且资产配置是围绕如何实现这些目标进行的,同时会考虑负债情况,将资产与实现不同目标的负债或类负债需求相对应 。

文中明确指出,TEF 采用MVO方法,仅考虑资产类别在机会集中的预期回报、风险和相关性,未对负债进行明确的建模和考虑。虽然 TEF 有支持奖学金、支持资本改进和资助部分运营预算这三个使命,但这并不意味着其资产配置方法就是目标导向的。它在资产配置过程中,并没有将资产与这些使命所对应的具体资金需求(类似负债)紧密结合起来进行规划,只是单纯从资产本身的收益、风险和相关性角度出发。所以,其资产配置方法更符合仅关注投资者资产负债表资产端的asset - only方法。

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