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Dylan02 · 2025年06月29日

这个题在问什么?

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NO.PZ202212280100002701

问题如下:

The risk- free rate is 2.0%, and the global market risk premium is 5.5%. Contrast, using the information provided above, the results of a reverse optimization approach with that of the MVO approach for each of the following:

i. The asset allocation mix

Justify your response.

选项:

解释:

i. The asset allocation mix

The asset allocation weights for the reverse optimization method are inputs into the optimization and are determined by the market capitalization weights of the global market portfolio.

The asset allocation weights for the MVO method are outputs of the optimization with the expected returns, covariances, and a risk aversion coefficient used as inputs.

The two methods result in significantly different asset allocation mixes.

In contrast to MVO, the reverse optimization method results in a higher percentage point allocation to global bonds, US bonds, and global equities as well as a lower percentage point allocation to cash and US equities.

The reverse optimization method takes the asset allocation weights as its inputs that are assumed to be optimal. These weights are calculated as the market capitalization weights of a global market portfolio. In contrast, the outputs of an MVO are the asset allocation weights, which are based on (1) expected returns and covariances that are forecasted using historical data and (2) a risk aversion coefficient. The two methods result in significantly different asset allocation mixes. In contrast to MVO, the reverse optimization method results in a 4.9, 5.5, and 10.1 higher percentage point allocation to US bonds, global equities, and global bonds, respectively, and a 6.1 and 14.4 lower percentage point allocation to cash and US equities, respectively. The asset allocation under the two methods is as follows:

不懂这个题在问什么,这样答可以吗


reverse MVO sets the market cap weightings as the optimal weightings, then calculate the implied expected return.

the expected return using reverse MVO= 6.83%

1 个答案

Lucky_品职助教 · 2025年06月30日

嗨,爱思考的PZer你好:


题目要求对比反向优化与 MVO 在资产配置组合上的结果。反向优化将市场资本化权重作为输入,假定其为最优配置;而 MVO 的资产配置权重是优化的输出,依据预期收益、协方差和风险厌恶系数等计算得出。两种方法得出的资产配置组合差异明显,这是因为反向优化基于市场均衡假设,以市场资本化权重为输入,而 MVO 依赖预测的预期收益等主观输入及风险厌恶系数,通过模型输出资产配置权重,逻辑起点不同导致结果差异显著。


你的回答部分内容准确,但存在信息不完整的问题,可能无法充分满足题目要求。题目要求对比 “结果”,需包括 “权重确定逻辑” 和 “具体比例差异”,而你的回答仅提及反向优化的逻辑,未对比 MVO 的逻辑及两者的具体差异。

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