NO.PZ2019092801000015
问题如下：
Mbalenhle Calixto is a global institutional portfolio manager who prepares for an annual meeting with the investment committee (IC) of the Estevão University Endowment. The endowment has €450 million in assets, and the current asset allocation is 42% equities, 22% fixed income, 19% private equity, and 17% hedge funds.
The IC’s primary investment objective is to maximize returns subject to a given level of volatility. A secondary objective is to avoid a permanent loss of capital, and the IC has indicated to Calixto its concern about left-tail risk. Calixto considers two asset allocation approaches for the endowment: mean–variance optimization (MVO) and mean–CVaR (conditional value at risk) optimization.
Determine the asset allocation approach that is most suitable for the Endowment. Justify your response.
选项：
解释：
鉴于 IC 对endowment的投资目标，使用mean-CVaR 优化方法更适合确定资产配置。 IC 的投资组合中有 36% 投资于另类资产，19% 投资于私募股权，17% 投资于对冲基金。因此，IC 对风险有更深入的了解，并且会了解到mean- CVaR 优化提供的更细微的风险视图。正如 Calixto 所指出的，该投资组合有另类投资的敞口，IC 担心左尾风险（资本永久损失的风险）。因此，通过相对于 MVO 的mean- CVaR 优化提供的对左尾风险的更详细的了解，资产配置决策将得到加强。 MVO 不能轻易适应大多数另类投资的特点，因为 MVO 使用标准差来表征资产的风险。标准差是一种风险的一维视图，它不能很好地代表资产收益可能不是正态分布的另类投资的风险特征。 而且MVO 通常会过度分配给替代资产类别，部分原因是由于过时或不频繁的定价以及回报呈正态分布的基本假设而低估了风险。
特别关注提议的资产配置的下行风险的投资者可能会选择最小化投资组合的 CVaR，而不是其相对于回报目标的波动性。如果投资组合包含具有负偏度和长尾的资产类别和投资策略，CVaR 优化可能会显著改变资产配置决策。
- The mean-CVaR optimization will be more suitable for the Endowment.
- MVO approach is based on the assumption that the return is normally distributed, which ignores the left tailed risk. But CVaR measures the average losses in extreme situations, which is better measurement for left-tail risks.
- Mean-CVaR allocation approach aims to find the allocation of the portfolio with the highest return given specific level of CVaR, which suits both of the objectives. Moreover, the investors is an Endowment, which may have sufficient understandings for the risk measures such as CVaR. Therefore, the mean-CVaR approach is the most suitable.
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