NO.PZ2024021802000045
问题如下：
When applying ESG analysis to the mean-variance optimization model, ESG issues could:
选项：
A.require a change to baseline factor risk assumptions.
B.potentially impact inflation and alter liability assumptions.
C.impact assumptions regarding expected return, volatility, and correlations.
解释：
A. Incorrect because, in the factor risk allocation model, ESG issues could require a change to baseline factor risk assumptions. It offers the potential to build in new ESG-related risk factors (such as climate change) to improve diversification (particularly across market risk factors).
B. Incorrect because liability driven investment (LDI) seeks to find the most efficient asset class mix driven by a fund’s liabilities. Some ESG issues could potentially impact on inflation and alter liability assumptions.
C. Correct because, in the mean -variance optimization model, ESG issues could impact on assumptions regarding expected return, volatility and correlation at the asset and sub-asset class level.
在书上哪一页？怎么没有看到书上的概念？
