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LOS a: Contrast the assumptions concerning pension liabiity risk in asset-only and liability-relative approaches to asset allocation.
Q1. Which of the following is NOT a characteristic of the liability-mimicking portfolio for a pension? The liability-mimicking portfolio:
A) is independent of economic growth.
B) has an exposure to interest rate changes.
C) recognizes economic liability.
Q2. Which of the following is NOT a characteristic of the liability-mimicking portfolio for a pension? The process of creating the liability-mimicking portfolio:
A) creates a benchmark portfolio that has a high correlation with the liabilities.
B) decomposes the liability into its various exposures.
C) uses cash as the risk-free investment.
Q3. Suppose a corporation has decided to close their defined-benefit pension plan to new employees and open a defined-contribution plan. All new employees will use the defined-contribution plan. All previous employees will have their benefits in the defined benefit plan held constant at its current level. Going forward, they will be entered into the defined-contribution plan. Which of the following assets would be most appropriate for the liability-mimicking portfolio?
A) Real return bonds.
B) Large-cap equities.
C) Nominal bonds.
Q4. Which of the following statements regarding the focus of a liability-mimicking versus an asset-only portfolio of pension plans is TRUE? The liability-mimicking portfolio will have a:
A) high correlation with the liabilities and the asset-only approach will focus on investments with a low correlation to assets.
B) low correlation with the liabilities and the asset-only approach will focus on investments with a low correlation to assets.
C) high correlation with the liabilities and the asset-only approach will focus on investments with a high correlation to assets. | 
发表于 2009-3-5 16:16
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