NO.PZ2019122802000003 问题如下 committee hhistorically usea trationapproato fine the opportunity set baseon stinmacroeconomic regimes, anone analyst proposes tha risk-baseapproamight a better metho Although the trationapproais relatively powerful for its ability to hane liquity anmanager selection issues compareto a risk-baseapproach, there are a number of limitations associatewith the existing approach. Whiof the following limitation of the existing approausethe committee to fine the opportunity set? A.is fficult to communicate. B.overestimates the portfolio versification. C.is sensitive to the historiclook-baperio B is correct.A trationapproahbeen useto fine the opportunity set baseon fferent macroeconomic contions. The primary limitations of trationapproaches are ththey overestimate the portfolio versification anobscure the primary ivers of risk.这是fining oppotunity set 的知识点，即另类投资产品的投资类别分类，主要有两类分类方法一类就是trationapproach, 另外一类就是risk-baseapproach. Tration是根据宏观的条件/流动性来看在何种条件下适合投资怎么样的产品，risk-base根据回归的方法来定义资产类别的。之所以说trationapproach会高估分散化的效果，是因为trationapproach只是形式上做到了分散化，但实际上不同的产品之间可能是有关联的，并没有做到实质上的分散化，比如股票和大宗商品之间，他们可能都会收到相同的利率，宏观经济的因素的影响。Risk-base法是从风险的最终来源角度来回归的，用各个因子把风险的敏感系数回归出来，既然是回归，那么就是基于历史数据，所以对于选择的time-perio常敏感，不同的time-perio能会导致不同的回归系数。这是risk-baseapproach的缺点。C错在是risk fbase是sensitive to the historiclook-baperio 为啥risk-base是sensitive to the historiclook-baperio
NO.PZ2019122802000003 overestimates the portfolio versification. is sensitive to the historiclook-baperio B is correct. A trationapproahbeen useto fine the opportunity set baseon fferent macroeconomic contions. The primary limitations of trationapproaches are ththey overestimate the portfolio versification anobscure the primary ivers of risk. c错在哪里了，mvo的方法不就是对历史数据敏感嘛？
NO.PZ2019122802000003 老师我想问一下，MVO 和 risk factor baseapproa不都是利用历史数据回归得到的吗？
C为什么不对
