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fallenangel625 · 2024年03月24日

老师能讲下MVO BLM以及LDI吗？

  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.”

老师能讲下MVO BLM以及LDI但这之间的区别吗？记得当时讲课老师说这块可以跳过但出题完全搞不清楚啥意思！

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已采纳答案

净净_品职助教 · 2024年03月25日

嗨，从没放弃的小努力你好：


均值-方差最优化 (MVO)：由哈里·马科维茨（Harry Markowitz）在1952年提出，MVO关注于如何通过资产的选择和配置来最大化预期回报，同时最小化风险。它通过构建一个有效前沿（Efficient Frontier）来实现，有效前沿上的每一点都代表了在给定风险水平下的最大预期回报组合。

  • 模型特点与ESG的联系：在MVO模型中考虑ESG的方式是设置ESG相关的约束条件，例如投资ESG评分达到前60%的公司。MVO对基本假设非常敏感，包括对ESG因素的考虑。ESG问题可以影响预期回报、波动性和资产之间的相关性假设，要求调整历史数据以反映未来预期。另外ESG问题可能扩展区域和资产类别的选择，并增加新的子资产类别，以实现正面的实际世界影响。

BLM是MVO的一种应用：

  • BLM利用马科维茨的均值-方差优化理论，同时引入了对市场预期的调整来改善传统MVO模型的实际应用。此外，在MVO的基础上，加入基金经理个人观点来进行资产配置。

负债驱动的资产配置 (LDI)：根据基金的负债来驱动资产配置的决策，常用于养老金的管理中。简单来说，养老金的负债有什么特点，投资就要针对这些特点来配置资产，例如养老金中的受益人（员工）都特别老了，马上就要退休，那么在管理这部分资金时，就要配置一些流动性较好的资产，以备几年后的退休金支付。

  • 与ESG联系：LDI面临与MVO类似的限制，对基线假设高度敏感。这意味着在实施LDI时，需要考虑ESG因素对通胀和负债假设的潜在影响。

区别总结：

  • MVO和BLM：专注于如何平衡预期回报和风险，通过构建有效前沿来优化资产配置。ESG问题在这些模型中通过影响预期回报和风险参数来融入决策过程。
  • LDI：关注的是资产和负债之间的匹配，确保资产配置策略能够满足未来负债的支付要求。ESG因素在LDI中主要通过其对未来通胀预期和负债估值的影响来考虑。


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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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