NO.PZ2022122801000033
问题如下：
A client, Lars Velky,
represents Velky Partners (VP), a large institutional investor with $500
million in investable assets. Velky is interested in adding less liquid asset
classes, such as direct real estate, infrastructure, and private equity, to
VP’s portfolio. Velky and Monteo discuss the considerations involved in
applying many of the common asset allocation techniques, such as MVO, to these
asset classes.
In their discussion of the asset classes that Velky is interested in adding to the VP portfolio, Monteo should tell Velky that:
选项：
A.
these asset classes can be readily diversified to eliminate idiosyncratic risk.
B.
indexes are available for these asset classes that do an outstanding job of representing the performance characteristics of the asset classes.
C.
the risk and return characteristics associated with actual investment vehicles for these asset classes are typically significantly different from the characteristics of the asset classes themselves.
解释：
C is correct. Less liquid asset classes—such as direct real estate, infrastructure, and private equity—represent unique challenges when applying many of the common asset allocation techniques. Common illiquid asset classes cannot be readily diversified to eliminate idiosyncratic risk, so representing overall asset class performance is problematic. Furthermore, there are far fewer indexes that attempt to represent aggregate performance for these less liquid asset classes than indexes of traditional highly liquid asset classes. Finally, the risk and return characteristics associated with actual investment vehicles—such as direct real estate funds, infrastructure funds, and private equity funds—are typically significantly different from the characteristics of the asset classes themselves.
我之前一直理解的是，因为这些illiquid的asset class和我们其他投资差别大，所以diversify的效果很好，能够降低非系统性风险，但我看答案又说其实是承担了更多的非系统性风险？
