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张莹莹 · 2024年03月05日

术语解释

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022120703000091

问题如下：

Which of the following statements about ESG portfolio optimization is most accurate?

选项：

A.ESG portfolio optimization via constraints applies a fixed decision on specific securities

B.Portfolios that optimize for a combination of ESG absolute data and subjective rankings minimize active risk to achieve both targets

C.Optimizations with a targeted ESG exposure that requires tighter constraints may result in an increase in deviation from an optimal portfolio

解释：

C is correct because "it is important to understand that targeted exposure that requires tighter constraints may likely result in an increase in deviation from an optimal portfolio."

A is incorrect because "ESG optimisation via constraints distinguishes itself from exclusionary screening in that it does not apply a fixed decision on specific securities. Rather, it is organising the securities by their individual ESG profile to solve a specific ESG optimisation at the overall portfolio level not on specific securities".

B is incorrect because "not surprisingly, portfolios that optimize for multiple factors – particularly a combination of absolute data and subjective rankings – may have to accept higher not lower active risk to achieve both targets."

老师，ABC三个选项意思都不太懂。请解释下一些术语的意思，如固定决策，constrain，active risk，还有其他词汇，感觉就算翻译成中文，也不知道选项想说的是啥。

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3 个答案

王岑 · 2024年03月14日

嗨，从没放弃的小努力你好：


前面的回答没有说清楚~这里题干问的是：以下哪项关于ESG投资组合优化的陈述最准确?三个选项的意思是，A. 通过约束进行ESG投资组合优化对特定证券做出了固定决策B. 那些针对ESG绝对数据和主观排名的组合进行优化的投资组合，通过最小化主动风险来实现这两个目标 C. 旨在实现特定ESG曝光量的优化，可能因为需要更严格的约束而导致与最优投资组合的偏离增加，所以选项可以看成是在构建一个考虑ESG的投资组合，可能需要克服的挑战。

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张莹莹 · 2024年03月12日

Which of the following statements about ESG portfolio optimization is most accurate? 请问这个题目的翻译是什么？有挑战的意思吗？

王岑 · 2024年03月06日

嗨，努力学习的PZer你好：


我们可以先来看一下这其中的一些金融专业术语：

  1. Optimization（优化）：在金融中，优化通常指的是在给定的约束条件下选择最佳投资组合以达成某个特定目标的过程。这个目标可以是最大化回报、最小化风险或达到某个特定的ESG曝光水平。
  2. Fixed decision on specific securities（对特定证券的固定决策）：这指的是对某些证券采取固定的投资或不投资的决策，而不是基于动态评估来决定是否包含它们在投资组合中。
  3. Constraints（约束条件）：在组合优化中，约束条件是投资决策必须遵循的规则或限制，如最小或最大投资限额、特定资产类别的比重限制或ESG得分的最低要求。
  4. Active risk（主动风险）：又称相对风险，指的是投资组合的回报与其基准（比如市场指数）回报之间的偏差。在尝试通过投资于表现可能与基准不同的资产来超越基准时，投资者会承担主动风险。
  5. Exposure (曝光)：指投资组合对某一资产、行业或风险因素的敞口程度，反映了投资者对该因素的依赖程度。
  6. Benchmark (基准)：一种标准，用于比较投资组合的表现，通常是市场指数，如标普500指数。
  7. Relative risk (相对风险)：同主动风险，指投资组合表现相对于其基准的波动。
  8. Exclusionary screening (排除性筛选)：一种投资筛选方法，排除那些不符合特定标准（如ESG准则）的投资。
  9. Optimal portfolio (最优投资组合)：理论上，在给定的风险水平下能够提供最高预期回报的投资组合。

这个题目问的是，当我们在构建一个考虑ESG因素的投资组合时，哪种情况最准确地描述了我们面临的一个挑战。

  • A选项说的是，我们通过设定一些规则（约束）来优化投资组合，就像我们事先决定只投资某些特定的好公司一样。但这个选项是错误的，因为实际上我们在做ESG优化时，不是简单地说“我们只买这个或那个”，而是根据每个公司在ESG方面的表现来整体调整我们的投资组合。
  • B选项提到了利用具体数据和主观评级来最小化风险的同时达成两个目标。但这是错误的，因为当我们同时考虑很多不同的因素时，实际上可能需要接受更高的风险，而不是降低风险，来确保我们既考虑了环境和社会因素，又能获得好的回报。
  • C选项告诉我们，如果我们设定了很严格的规则来确保我们的投资组合有很好的ESG表现，这可能会让我们的投资组合与理论上最理想的投资组合有所偏离。这是正确的，因为当我们尝试过于严格地控制某些方面时，可能会错过一些好的投资机会，或者投资组合的多样性减少，这可能会增加我们的投资风险或减少回报。

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