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shandd · 2024年12月16日

b

NO.PZ2022120703000091

问题如下:

Which of the following statements about ESG portfolio optimization is most accurate?

选项:

A.ESG portfolio optimization via constraints applies a fixed decision on specific securities

B.Portfolios that optimize for a combination of ESG absolute data and subjective rankings minimize active risk to achieve both targets

C.Optimizations with a targeted ESG exposure that requires tighter constraints may result in an increase in deviation from an optimal portfolio

解释:

C is correct because "it is important to understand that targeted exposure that requires tighter constraints may likely result in an increase in deviation from an optimal portfolio."

A is incorrect because "ESG optimisation via constraints distinguishes itself from exclusionary screening in that it does not apply a fixed decision on specific securities. Rather, it is organising the securities by their individual ESG profile to solve a specific ESG optimisation at the overall portfolio level not on specific securities".

B is incorrect because "not surprisingly, portfolios that optimize for multiple factors – particularly a combination of absolute data and subjective rankings – may have to accept higher not lower active risk to achieve both targets."

不理解b选项什么意思

1 个答案

净净_品职助教 · 2024年12月17日

嗨,从没放弃的小努力你好:


B选项说反了

这道题讲的是在最优化模型中考虑ESG的因素,往往是通过设置ESG相关的约束条件,可以使用ESG绝对数据(例如碳排放)或者主观排名(例如ESG评级)。通过最优化在构建组合时,如果要同时满足ESG绝对数据和主观排名的目标,投资组合需要进行更大的调整和妥协,与基准的差异更大,从而导致更高的主动风险,而不是更低。

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