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mino酱是个小破货 · 2025年04月28日

烦请问下老师这么答可以吗？谢谢老师

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202212280100002102

问题如下：

Welch explains to Finnegan that she is currently following an asset-only (AO) approach to strategic asset allocation. He strongly advises her to adopt an asset/liability management (ALM) approach.

B. Discuss three reasons, based on Finnegan’s circumstances, why an ALM approach would be more appropriate than an AO approach.

选项：

解释：

The ALM approach focuses asset allocation on funding liabilities. Finnegan should adopt an ALM approach because:

Ÿ Finnegan faces a significant penalty for not meeting her liabilities. If she misses her mortgage payments for three or more months, she risks losing her home. She does not want to sell assets to pay the mortgage. Therefore, a portfolio structure designed to meet liabilities would be appropriate.

Ÿ Finnegan has below average risk tolerance while unemployed. Loss averse investors, or investors with below-average risk tolerance, are better suited to an ALM approach than to an AO approach.

Ÿ Finnegan’s mortgage payments are interest-rate sensitive. Holding investment assets with similarly sensitive cash flows would hedge this risk. Therefore, an ALM approach is more appropriate than an AO approach for her.

ALM is more appropriate than an AO approach by matching liabiltiy.Finnegan has a variable-rate mortgage on her home. If she fails to make her mortgage payments for three months, she risks losing her home.

What's more, she has below-average risk tolerance until she finds a new job. The AO approach is risk in failing to pay the bill if expected return falls.

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