aa reverse optimization 好处

嗨，努力学习的PZer你好：

reverse optimization的两点好处是：

•Take as its inputs a set of asset allocation weights that are assumed to be optimal and solves for expected returns, which are referred to as implied or imputed returns.

采用了implied return而不是资产的expected return，因为MVO对输入变量（尤其是Expected return）非常敏感。

•Relate assets' expected returns to their systematic risk. 反映了系统性风险，因为资产的implied return与CAPM的结论一致。

reverse optimization解决的是MVO方法highly sensitive to the inputs的问题，这个问题表现为结果很不稳定。所以跟MVO方法相比，reverse optimization is more stable。

diversified是由Adding Constraints 来解决的，或者说解决highly concentrated of MVO portfolio这个问题的方法是增加限制条件。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！