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Pavel Korchagin · 2025年06月18日

麻烦老师看一下这么回答可以吗

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:

the allocation 2 should be the most appropriate

1.80% of the assets are allocated to fixed-incomes which matches the 8 million present value of the liabilities.

2.it can generate risk-adjusted returns while maintaining the certainty in covering the liability obligation.

1 个答案

Lucky_品职助教 · 2025年06月18日

嗨,努力学习的PZer你好:


你的回答整体方向正确,但是数据表述有错误。负债现值是 80 亿美元(USD 8 billion),而非 800 万美元(8 million),需修正单位。

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努力的时光都是限量版,加油!

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