Resampling为什么会导致riskier资产over-diversified

问题如下：

Remington and Montgomery discuss with Winfeld some alternative asset allocation models that she may wish to consider, including resampled mean–variance optimization (resampling). Remington explains that resampling combines mean–variance optimization (MVO) with Monte Carlo simulation, leading to more diversified asset allocations. Montgomery comments that resampling, like other asset allocation models, is subject to criticisms, including that risker asset allocations tend to be under-diversified and the asset allocations inherit the estimation errors in the original inputs.

In Remington and Montgomery’s discussion with Winfeld on resampling, Montgomery’s comment is most likely:

选项：

A.

correct.

B.

incorrect regarding estimation errors.

C.

incorrect regarding diversification of asset allocations.

解释：

Montgomery’s comment about the criticisms of resampling is incorrect regarding diversification of asset allocations. Risker asset allocations are over-diversified, not under-diversified. The comment is correct with regard to estimation errors because the asset allocations do inherit the estimation errors in the original inputs.