After meeting with XTR, Swan, Gruber, and Morrison discuss some of the criticisms of MVO portfolios.
Swan: MVO portfolios are diversified with respect to risk factors such as value, size, and quality.
Gruber: MVO portfolios are more sensitive to measurement errors in the expected return than to measurement errors in correlation and risk.
Morrison: Some of the issues with MVO can be corrected by using reverse optimization to solve for risk parameters based on inputs for expected return and correlation.
In the discussion of the criticisms of MVO portfolios, the most accurate statement is made by:
A. Morrison.
B. Swan.
C. Gruber.
请问老师，官网的这一题，关于B的答案是不是说错了？MVO不是应该基于total risk吗？为什么解析里面说MVO仅仅是基于market risk only？
