问一道题：NO.PZ2019122802000036 [ CFA III ]

NO.PZ2019122802000036 问题如下 Whiof the following statement about Monte Carlo Simulation in alternative asset allocation is not correct? A.Monte Carlo Simulation relaxes the assumption of normally stributereturn. B.Monte Carlo Simulation combines the high anlow volatility normstributions to lea skeweanfat-tailestribution for alternative investments. C.Monte Carlo Simulation is the most robust asset allocation approach. C is correct.Risk-factor baseoptimization is the most robust asset allocation approach.蒙特卡洛模拟来做另类的资产配置的时候，核心的目标是去模拟一个skeweanfat-taile收益与风险的分布；具体方法是这三步确定low-volatility 以及 high-volatility两种情况下的风险因子，确定好之后，用蒙特卡洛模拟建议不同情况下的收益模型，然后再把这个不同情况下的收益模型叠加起来，就能构建一个skeweanfat-taile型，这样就符合另类投资的收益风险特征了。这是讲义当中写的具体步骤哈•Estimate the behavior of factors anor assets in low-volatility regimes anhigh-volatility regimes•then generating scenarios using the fferent means ancovariances estimateunr the fferent regimes.•This mixture of high-anlow-volatility normstributions woulleto altogether skeweanfat-tailestribution of asset class return or risk factor changes. 为什么risk-factor baseoptimization most robust?

NO.PZ2019122802000036问题如下Whiof the following statement about Monte Carlo Simulation in alternative asset allocation is not correct? A.Monte Carlo Simulation relaxes the assumption of normally stributereturn.B.Monte Carlo Simulation combines the high anlow volatility normstributions to lea skeweanfat-tailestribution for alternative investments.C.Monte Carlo Simulation is the most robust asset allocation approach. C is correct.Risk-factor baseoptimization is the most robust asset allocation approach.蒙特卡洛模拟来做另类的资产配置的时候，核心的目标是去模拟一个skeweanfat-taile收益与风险的分布；具体方法是这三步确定low-volatility 以及 high-volatility两种情况下的风险因子，确定好之后，用蒙特卡洛模拟建议不同情况下的收益模型，然后再把这个不同情况下的收益模型叠加起来，就能构建一个skeweanfat-taile型，这样就符合另类投资的收益风险特征了。这是讲义当中写的具体步骤哈•Estimate the behavior of factors anor assets in low-volatility regimes anhigh-volatility regimes•then generating scenarios using the fferent means ancovariances estimateunr the fferent regimes.•This mixture of high-anlow-volatility normstributions woulleto altogether skeweanfat-tailestribution of asset class return or risk factor changes. 如题，能一下A的relax该怎么理解吗？谢谢

NO.PZ2019122802000036问题如下Whiof the following statement about Monte Carlo Simulation in alternative asset allocation is not correct? A.Monte Carlo Simulation relaxes the assumption of normally stributereturn.B.Monte Carlo Simulation combines the high anlow volatility normstributions to lea skeweanfat-tailestribution for alternative investments.C.Monte Carlo Simulation is the most robust asset allocation approach. C is correct.Risk-factor baseoptimization is the most robust asset allocation approach.蒙特卡洛模拟来做另类的资产配置的时候，核心的目标是去模拟一个skeweanfat-taile收益与风险的分布；具体方法是这三步确定low-volatility 以及 high-volatility两种情况下的风险因子，确定好之后，用蒙特卡洛模拟建议不同情况下的收益模型，然后再把这个不同情况下的收益模型叠加起来，就能构建一个skeweanfat-taile型，这样就符合另类投资的收益风险特征了。这是讲义当中写的具体步骤哈•Estimate the behavior of factors anor assets in low-volatility regimes anhigh-volatility regimes•then generating scenarios using the fferent means ancovariances estimateunr the fferent regimes.•This mixture of high-anlow-volatility normstributions woulleto altogether skeweanfat-tailestribution of asset class return or risk factor changes. 更robust体现在哪些方面呀

NO.PZ2019122802000036 问题如下 Whiof the following statement about Monte Carlo Simulation in alternative asset allocation is not correct? A.Monte Carlo Simulation relaxes the assumption of normally stributereturn. B.Monte Carlo Simulation combines the high anlow volatility normstributions to lea skeweanfat-tailestribution for alternative investments. C.Monte Carlo Simulation is the most robust asset allocation approach. C is correct.Risk-factor baseoptimization is the most robust asset allocation approach.蒙特卡洛模拟来做另类的资产配置的时候，核心的目标是去模拟一个skeweanfat-taile收益与风险的分布；具体方法是这三步确定low-volatility 以及 high-volatility两种情况下的风险因子，确定好之后，用蒙特卡洛模拟建议不同情况下的收益模型，然后再把这个不同情况下的收益模型叠加起来，就能构建一个skeweanfat-taile型，这样就符合另类投资的收益风险特征了。这是讲义当中写的具体步骤哈•Estimate the behavior of factors anor assets in low-volatility regimes anhigh-volatility regimes•then generating scenarios using the fferent means ancovariances estimateunr the fferent regimes.•This mixture of high-anlow-volatility normstributions woulleto altogether skeweanfat-tailestribution of asset class return or risk factor changes. c错在哪？

NO.PZ2019122802000036 您好，我对于B中间 “normstribution\"这一段不理解，如果不是这个，我觉得B是对的。 Monte Carlo Simulation combines the high anlow volatility normstributions to lea skeweanfat-tailestribution for alternative investments.