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王婆婆 · 2024年04月12日

B选项

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2022072902000008

问题如下：

Which of the following is an active quantitative approach to embed ESG within a portfolio?

选项：

A.Weighting ESG as an idiosyncratic factor in a multi-factor stock selection algorithm. B.Consideration of ESG scoring and relevant metrics in security-specific investment decisions. C.Minimising tracking error against benchmark indices. D.Solving the mean-variance optimisation problem to arrive at the best sectors for assetallocation.

解释：

复杂的定量方法将ESG作为专有因子直接嵌入算法模型中，从而推动投资组合的股票选择。

B为什么不对？

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1 个答案

王岑 · 2024年04月12日

嗨，爱思考的PZer你好：


题目问的哪个是“主动的定量方法”，虽然B选项涉及到将ESG因素考虑进投资决策，确实考虑ESG因素，但通常不涉及复杂的定量模型，而是可能更依赖于定性或半定量的方法。这种方式可能不涉及明确的算法或数学模型来系统地评估每个证券的ESG因素，而是基于个别投资决策过程中对ESG数据的解读。因此，它不如选项A那样代表一个“主动的定量的方法”。

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努力的时光都是限量版，加油！

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