NO.PZ2022122801000026
问题如下：
Remington and Montgomerydiscuss with Winfeld some alternative asset allocation models that she may wishto consider, including resampled mean–variance optimization (resampling).Remington explains that resampling combines mean–variance optimization (MVO)with Monte Carlo simulation, leading to more diversified asset allocations. Montgomerycomments that resampling, like other asset allocation models, is subject tocriticisms, including that risker asset allocations tend to be under-diversifiedand the asset allocations inherit the estimation errors in the original inputs.
In Remington andMontgomery’s discussion with Winfeld on resampling, Montgomery’s comment ismost likely:
选项：
A.
correct.
B.
incorrect regarding estimation errors.
C.
incorrect regarding diversification of asset allocations.
解释：
Montgomery’s comment about the criticisms of resampling is incorrect regarding diversification of asset allocations. Risker asset allocations are over-diversified, not under-diversified. The comment is correct with regard to estimation errors because the asset allocations do inherit the estimation errors in the original inputs.
为什么会过度分散更具有风险的资产？为什么这是resampled MVP 的缺点？
