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Sia · 2020年09月22日

问一道题:NO.PZ2019122802000006

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

B.

Only Statement 2

C.

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

Sia · 2020年09月22日

不好意思,写错了,应该是statement1

1 个答案

韩韩_品职助教 · 2020年09月23日

嗨,努力学习的PZer你好:


请见上一个回答


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