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The XYZ Retirement Fund has $400m in assets and $370m in liabilities. Assume that the expected return on the surplus scaled by assets is 6% and the expected growth in liabilities is 5%. The volatility of the asset growth is 10% and the volatility of the liability growth is 7%. Compute the volatility of the surplus growth assuming the correlation between assets and liabilities is 0.4. A. $37.97. B. $35.45. C. $33.26. D. $31.19. |
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