NO.PZ2021060201000025
问题如下：
Johnson is an portfolio manager who discuss with the investment committee (IC) of the EUH University Endowment. The endowment has €650 million in assets, and the current asset allocation is 43% equities, 23% fixed income, 16% private equity, and 18% hedge funds.
The main investment objective of IC is to maximize returns under a given level of volatility. The second goal is to avoid permanent loss of capital, and IC has expressed to Johnson its concerns about left-tail risks. Johnson considers two asset allocation methods for endowments:mean–variance optimization (MVO) and mean–CVaR (conditional value at risk) optimization.
Determine the most suitable asset allocation method for the endowment fund. Justify your response.
选项：
解释：
• Mean–CVaR will better address the IC’s concern about left-tail risk (the risk of a permanent capital loss).
• If the portfolio contains asset classes and investment strategies with negative skewness and long tails, CVaR optimization could materially alter the asset allocation decision.
鉴于 IC 对endowment的投资目标，使用mean-CVaR 优化方法更适合确定资产配置。
• Mean–CVaR 将更好地解决 IC 对左尾风险（永久性资本损失的风险）的担忧。
• 如果投资组合包含具有负偏度和长尾的资产类别和投资策略，CVaR 优化可能会显着改变资产配置决策。
鉴于 IC 对endowment的投资目标，使用mean-CVaR 优化方法更适合确定资产配置。 IC 的投资组合中有 36% 投资于另类资产，19% 投资于私募股权，17% 投资于对冲基金。因此，IC 对风险有更深入的了解，并且会了解到mean- CVaR 优化提供的更细微的风险视图。正如 Calixto 所指出的，该投资组合有另类投资的敞口，IC 担心左尾风险。因此，通过相对于 MVO 的mean- CVaR 优化提供的对左尾风险的更详细的了解，资产配置决策将得到加强。 MVO 不能轻易适应大多数另类投资的特点，因为 MVO 使用标准差来表征资产的风险。标准差是一种风险的一维视图，它不能很好地代表资产收益可能不是正态分布的另类投资的风险特征。 而且MVO 通常会过度分配给替代资产类别，部分原因是由于过时或不频繁的定价以及回报呈正态分布的基本假设而低估了风险。
特别关注提议的资产配置的下行风险的投资者可能会选择最小化投资组合的 CVaR，而不是其相对于回报目标的波动性。如果投资组合包含具有负偏度和长尾的资产类别和投资策略，CVaR 优化可能会显著改变资产配置决策。
题目中说The main investment objective of IC is to maximize returns under a given level of volatility. 第二目标才是avoid permanent loss of capital. 那么MVO是不是更合适呢？
