NO.PZ2023010407000037
问题如下：
Mbalenhle Calixto is a global institutional portfolio manager who prepares for an annual meeting with the investment committee (IC) of the Estevão University Endowment. The endowment has €450 million in assets, and the current asset allocation is 42% equities, 22% fixed income, 19% private equity, and 17% hedge funds.
The IC’s primary investment objective is to maximize returns subject to a given level of volatility. A secondary objective is to avoid a permanent loss of capital, and the IC has indicated to Calixto its concern about left-tail risk. Calixto considers two asset allocation approaches for the endowment: mean–variance optimization (MVO) and mean–CVaR (conditional value at risk) optimization.
Determine the asset allocation approach that is most suitable for the Endowment. Justify your response.
选项：
解释：
mean–CVaR (conditional value at risk) optimization is the most suitable. the reasons are as following:
- the distribution of the current asset is no nomal distuibution. using MVO may over allocate the derivative.
- mean–CVaR optimization consider the left tail risk, which can meet the needs of IC.
