NO.PZ2024021802000069
问题如下：
For which of the following strategic asset allocation models would ESG issues most likely require new baseline risk assumptions?选项：
A.Factor risk allocation B.Regime switching models C.Mean-variance optimization解释：
A. Correct because in factor risk allocation 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 regime switching approaches are relevant for considering ESG issues where an abrupt shift is expected over time. These approaches have the potential to capture dramatic shifts in the investment environment. Models are not yet widely utilised by investment practitioners.
C. Incorrect because in mean-variance optimization ESG issues could impact on assumptions regarding expected return, volatility and correlation at the asset and sub-asset class level. This measures the effects of potential market behavior changes due to ESG factors.
请详细讲解一下每个模型的具体方法，并告知在讲义中的哪里？