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enz859 · 2023年12月27日

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  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120703000081

问题如下：

Which of the following strategic asset allocation model(s) is highly sensitive to baseline assumptions?

选项：

A.Mean-variance optimization (MVO) only

B.Liability driven asset allocation (LDI) only

C.Both mean-variance optimization (MVO) and liability driven asset allocation (LDI)

解释：

C is correct because both Mean-variance optimisation (MVO) and Liability driven asset allocation (LDI) are highly sensitive to baseline assumptions. In particular, “MVO is highly sensitive to baseline assumptions…” and “LDI encounters the same limitations as MVO, with high sensitivity to baseline assumptions.”

A is incorrect because both Mean-variance optimisation (MVO) and Liability driven asset allocation (LDI) are highly sensitive to baseline assumptions. In particular, “MVO is highly sensitive to baseline assumptions…” and “LDI encounters the same limitations as MVO, with high sensitivity to baseline assumptions.”

B is incorrect because both Mean-variance optimisation (MVO) and Liability driven asset allocation (LDI) are highly sensitive to baseline assumptions. In particular, “MVO is highly sensitive to baseline assumptions…” and “LDI encounters the same limitations as MVO, with high sensitivity to baseline assumptions.”

这两个模型的应用场景是什么？一般是解决什么问题？在什么知识点下出现？

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1 个答案

王岑 · 2023年12月28日

嗨，努力学习的PZer你好：


均值-方差优化（MVO）

应用场景：

均值-方差优化（MVO）主要应用于投资组合的选择和资产配置领域。它广泛被资产管理者和个人投资者使用，以确定在给定的风险水平下， 如何通过选择不同的资产组合来最大化预期收益。

解决问题：

MVO旨在解决如何在风险和收益之间取得平衡的问题。具体来说，它通过量化投资组合的预期收益和风险（通过方差或标准差衡量），帮助投资者找到最优的资产配置策略，即在不超过投资者风险承受能力的情况下，寻求最大可能的收益。

负债驱动的资产配置（LDI）

应用场景：

负债驱动的资产配置（LDI）主要应用于机构投资者，如养老基金和保险公司。它着重于资产与负债之间的匹配，即确保资产的回报能满足未来负债的支付需求。

解决问题：

LDI的核心问题是管理和缓减负债风险。这个模型帮助机构投资者确定一种资产配置策略，使得资产的表现能够跟随或超过其负债的表现。主要是解决资产和负债之间的不匹配风险，尤其是在利率变动或市场波动时，确保有足够的资金来应对未来的负债。

MVO和LDI只在第八章的Integrating ESG: Strategic Asset Allocation Models这一节，并且不会进行深入的考查，只要学会讲义中的内容即可。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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