NO.PZ2023010407000035
问题如下：
In order to explain the new strategic asset allocation to the investment committee, Kroll asks Park why a risk factor-based approach should be used rather than a mean– variance-optimization technique. Park makes the following statements:
Statement 3 Risk factor-based approaches to asset allocation produce more robust asset allocation proposals.
Statement 4 A mean–variance optimization typically overallocates to the private alternative asset classes due to stale pricing.
Which of Park’s statements regarding the asset allocation approaches is correct?
选项：
A.Only Statement 3
Only Statement 4
Both Statement 3 and Statement 4
解释：
C is correct.
Statement 3 is correct because risk factor-based approaches to asset allocation
can be applied to develop more robust asset allocations. Statement 4 is correct
because a mean–variance optimization typically overallocates to the private
alternative asset classes, partly because of underestimated risk due to stale
pricing and the assumption that returns are normally distributed.
Statement 3 is correct because risk factor-based approaches to asset allocation can be applied to develop more robust asset allocations. 【Q1 怎么理解robust? 】
Statement 4 is correct because a mean–variance optimization typically overallocates to the private alternative asset classes, partly because of underestimated risk due to stale pricing and the assumption that returns are normally distributed.【Q2 为什么会overallocate to assets with stale pricing ?】
