问题如下:
Which of the following statements about using a risk factor-based approach rather than a mean–variance-optimization technique is correct?
Statement 1 Risk factor-based approaches to asset allocation produce more robust asset allocation proposals.
Statement 2 A mean–variance optimization typically overallocates to the private alternative asset classes due to stale pricing.
选项:
A.Only Statement 1
Only Statement 2
Both Statement 1 and Statement 2
解释:
C is correct.
Statement 1 is correct because risk factor-based approaches to asset allocation can be applied to develop more robust asset allocations. Statement 2 is correct because a mean–variance optimization typically overallocates to the private alternative asset classes, partly because of underestimated risk due to stale pricing and the assumption that returns are normally distributed.
请问statement2里面的内容在讲义什么地方呢?基础班和强化版讲义都没有找到