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Aileen wu · 2022年05月11日

statement2: private alternative asset

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.

risk factor approach在配置资产组合时整体会更灵活。还是举个栗子,比如我想模拟一个创业板指数的走势,但是这些指数里面有些个股可能很难买到(比如因为交易不活跃)。那这个时候用risk factor approach来代替,做一个类似这些很难买到的指数里的个股的risk factor 。(例如这个买不到指数里的个股是小股票c,受小市值因子影响很大,就做多一个小市值股票同时做空一个大市值的股票,模拟出c股票的类似走势,即使没有买c股票,但是想要的结果达到了,用的risk factor approach模拟的结果涨跌和c股票都差不多)这样就相对更灵活一些,不用买不到这个指数的个股干着急。

stale pricing指的是报价不连续,导致价格更新的慢,样本少了,平滑了波动,所以方差小,而真实的波动会大很多,所以会低估风险,进而分配过多的资产在private alternative asset。


所以选C

老师,您好。不好意思,有点纠结。为什么这里特指 private 的alternative asset,因为MVO方法是会over allocate on alternatives,但这里特别指出是private,为什么也是正确的

1 个答案

伯恩_品职助教 · 2022年05月11日

嗨,从没放弃的小努力你好:


同学你看哦,如果W适合A,A包含1和2,那么W也适合1,对吧。所以这个本身没有问题,加private 也是属于alternative的

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