开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

西红柿面 · 2025年06月01日

这个如果说relax the assumption of normal distribution可以吗

* 问题详情,请 查看题干

NO.PZ202212280100002001

问题如下:

In addition to traditional mean-variance analysis, Beveridge also estimates one other form of portfolio optimization: the resampled efficient frontier approach. The board of trustees also asks Beveridge whether an asset/liability management (ALM) approach to strategic asset allocation would be appropriate. The board notes that the pension plan has below-average risk tolerance.


i. Identify two advantages of the resampled efficient frontier approach relative to the traditional mean-variance efficient frontier approach.

选项:

解释:

The advantages of the resampled efficient frontier approach relative to the mean-variance efficient frontier approach are:

1. the optimal portfolios resulting from the re-sampling process are more diversified;

2. the optimal portfolio weights from the re-sampled portfolios are more stable through time.

这个如果说relax the assumption of normal distribution可以吗

0 个答案
  • 0

    回答
  • 0

    关注
  • 2

    浏览
相关问题

NO.PZ202212280100002001 问题如下 i. Intify twoaantages of the resampleefficient frontier approarelative to thetrationmean-varianefficient frontier approach. The aantages of the resampleefficient frontier approarelative to the mean-varianefficient frontier approaare:1. the optimportfolios resulting from the re-sampling process are more versifie2. the optimportfolio weights from the re-sampleportfolios are more stable through time. (1)The esampleefficient frontier approauses Monte Carlo simulation a wto generate anverage froniter curve.(2)The asset allocation of resampleefficient frontier approaare more versifieththe mean-varianefficient frontier approach.

2025-04-28 21:24 1 · 回答

NO.PZ202212280100002001 问题如下 In aition to trationalmean-variananalysis, Beverie also estimates one other form of portfoliooptimization: the resampleefficient frontier approach. The boarof trusteesalso asks Beverie whether asset/liability management (ALM) approatostrategic asset allocation woulappropriate. The boarnotes ththepension plhbelow-average risk tolerance. i. Intify twoaantages of the resampleefficient frontier approarelative to thetrationmean-varianefficient frontier approach. The aantages of the resampleefficient frontier approarelative to the mean-varianefficient frontier approaare:1. the optimportfolios resulting from the re-sampling process are more versifie2. the optimportfolio weights from the re-sampleportfolios are more stable through time. 因为本身Optimization的次数增多(有多次估计),EF的估计更加准确和Stable,所以Resampling是否可以Returnover antransaction costs?

2025-03-24 18:17 1 · 回答

NO.PZ202212280100002001 问题如下 i. Intify twoaantages of the resampleefficient frontier approarelative to thetrationmean-varianefficient frontier approach. The aantages of the resampleefficient frontier approarelative to the mean-varianefficient frontier approaare:1. the optimportfolios resulting from the re-sampling process are more versifie2. the optimportfolio weights from the re-sampleportfolios are more stable through time. 2. the optimportfolio weights from the re-sampleportfolios are more stable through time.这个知识点在讲义哪里?

2023-07-20 23:10 1 · 回答