鄭同學(xué)
2020-02-02 22:50老師你好，請(qǐng)教一個(gè)關(guān)于reading 13的課后題，reading 13的課后第5題?？蛻鬕ealoha的目標(biāo)是“earn a competitive risk adjusted rate of return while maintaining a high level of certainty to fix the obligation"。 這道題我憑借感覺(jué)選的是C，two approaches method，但是為什么不能選A surplus 呢？ 我的筆記記錄surplus 和two approaches method有兩個(gè)區(qū)別，一個(gè)是surplus用來(lái)hedge liability的asset要和liability有相關(guān)性；第二個(gè)是two approaches的方法中的basic form要求overfunded。 但是我覺(jué)得這兩個(gè)區(qū)別不能幫我判斷這道題為什么不能選擇surplus。
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Peter F助教
2020-02-03 16:40
該回答已被題主采納
同學(xué)，你好：Hedging/return-seeking portfolios approach 指：This approach involves separating assets into two groups: a hedging portfolio and a return-seeking portfolio.
更詳細(xì)的理解是：
In the basic case, the first part of the asset allocation task consists of hedging the liabilities through a hedging portfolio.
In the second part, the surplus (or some part of it) is allocated to a return-seeking portfolio, which can be managed independently of the hedging portfolio (for example, using mean–variance optimization or another method).
surplus optimization 指: mean–variance optimization applied to surplus (defined as the value of the investor’s assets minus the present value of the investor’s liabilities)
以上是兩者的定義，再來(lái)分析 Kealoha 的情況，has a large fixed obligation due in 10 years / has substantially more funds than are required to meet the fixed obligation / earn a competitive risk-adjusted rate of return
可以判斷出 Kealoha 有2個(gè)要求 1） 要安全 2） 收益要高
所以，Hedging/return-seeking portfolios approach 更好
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