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Carolyne · 2025年06月25日

c 的cost 最低

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000301

问题如下：

From the description of Sabonete’s objectives for the SPP, the most appropriate asset allocation approach is:

选项：

A.mean–variance optimization. B.a basic two-portfolio approach. C.an integrated asset–liability approach.

解释：

SoluC is correct. Based on the objectives described, the integrated asset–liability approach is the most appropriate asset allocation approach for the SPP, which is currently under-funded and seeks to achieve fully funded status in five years. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.

C is correct. Based on the objectives described, the integrated asset–liability approach is the most appropriate asset allocation approach for the SPP, which is currently under-funded and seeks to achieve fully funded status in five years. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.

A is incorrect. Mean–variance optimization is an asset-only approach to asset allocation and fails to consider Sabonete’s goal of fully funding the liabilities.

B is incorrect. The basic two-portfolio approach assumes the pension plan has a surplus that can be allocated to a return-seeking portfolio.

为什么C的cost最低？C通常被银行保险采用，成本应该很高啊？

三种方法，按照费用高低如何排序，谢谢。

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Lucky_品职助教 · 2025年06月25日

嗨，努力学习的PZer你好：


在 Sabonete 案例中，integrated asset–liability approach被认为成本最低，是因为该方法以负债为核心进行资产配置，直接匹配负债的久期、现金流等特征，能有效减少资产负债错配带来的波动，避免频繁调整资产组合从而降低交易成本。

同时，其聚焦于 5 年内达到完全资金到位状态的目标，无需像two-portfolio approach那样维持独立的负债对冲组合和收益追求组合，减少了双组合管理的复杂度及行政成本，也避免了MVO这种纯资产端方法因忽视负债特性而产生的额外调整成本。

从三种方法的成本来看，two-portfolio approach因需构建双组合并依赖资金盈余，管理和再平衡成本最高；MVO作为资产端方法，未考虑负债目标，应对市场波动的调整成本次之；integrated asset–liability approach因目标明确且操作针对性强，能通过精准匹配降低无效交易，故成本最低。

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