NO.PZ201909280100000806
问题如下:
6 Which of Park’s statements regarding the asset allocation approaches is correct?
选项:
A.Only Statement 3
Only Statement 4
Both Statement 3 and Statement 4
解释:
C is correct.
Statement 3 is correct because risk factor-based approaches to asset allocation can be applied to develop more robust asset allocations. Statement 4 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。
因为价格更新的慢,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
robust这个词不管是在英语词典或是“电气自动化”专业论文里都是“稳健,稳定的”意思,为什么这里理解的是灵活呢?