净净_品职助教 · 2025年06月24日
嗨，爱思考的PZer你好：
既然 MVO（均值-方差优化）也会因为 ESG 问题调整假设，那为什么答案不是它？
这个问题的关键在于理解题干中的限定词："would most likely require new baseline risk assumptions"
也就是说，题目问的是 哪种资产配置模型最有可能需要对“基本的风险假设（baseline risk assumptions）”进行调整，特别是由于 ESG 问题。
A正确：Factor risk allocation
C错误：MVO 是基于资产的期望收益、波动率和相关性来做配置的模型。
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虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ2024021802000069 问题如下 For whiof the following strategic asset allocation mols woulESG issues most likely require new baseline risk assumptions? A.Factor risk allocation B.Regime switching mols C.Mean-varianoptimization Correbecause in factor risk allocation ESG issues coulrequire a change to baseline factor risk assumptions. It offers the potentito builin new ESG-relaterisk factors (suclimate change) to improve versification (particularly across market risk factors).Incorrebecause regime switching approaches are relevant for consiring ESG issues where abrupt shift is expecteover time. These approaches have the potentito capture amatic shifts in the investment environment. Mols are not yet wily utiliseinvestment practitioners.Incorrebecause in mean-varianoptimization ESG issues coulimpaon assumptions regarng expectereturn, volatility ancorrelation the asset ansub-asset class level. This measures the effects of potentimarket behavior changes e 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？
解析错误 的根本看不懂
NO.PZ2024021802000069问题如下For whiof the following strategic asset allocation mols woulESG issues most likely require new baseline risk assumptions?A.Factor risk allocationB.Regime switching molsC.Mean-varianoptimization Correbecause in factor risk allocation ESG issues coulrequire a change to baseline factor risk assumptions. It offers the potentito builin new ESG-relaterisk factors (suclimate change) to improve versification (particularly across market risk factors).Incorrebecause regime switching approaches are relevant for consiring ESG issues where abrupt shift is expecteover time. These approaches have the potentito capture amatic shifts in the investment environment. Mols are not yet wily utiliseinvestment practitioners.Incorrebecause in mean-varianoptimization ESG issues coulimpaon assumptions regarng expectereturn, volatility ancorrelation the asset ansub-asset class level. This measures the effects of potentimarket behavior changes e to ESG factors. 这题不理解，请说明。
