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徐威廉 · 2022年11月05日

C错哪了

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NO.PZ202206210100000204

问题如下:

In Remington and Montgomery’s discussion with Winfield on resampling, Montgomery’s comment is most likely:

选项:

A.correct. B.incorrect regarding estimation errors. C.incorrect regarding diversification of asset allocations.

解释:

Solution

C is correct. Montgomery’s comment about the criticisms of resampling is incorrect regarding diversification of asset allocations. Risker asset allocations are over-diversified, not under-diversified. The comment is correct with regard to estimation errors because the asset allocations do inherit the estimation errors in the original inputs.

A and B are incorrect. Risker asset allocations are over-diversified, not under-diversified. However, the asset allocations do inherit the estimation errors in the original inputs.

C错哪了

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lynn_品职助教 · 2022年11月08日

嗨,爱思考的PZer你好:


这道题来源2019 mock AM,C是正确的选项。

C选项的意思是说,R同学的观点1、Resampling方法下风险越大资产分散化程度越低,是不正确的。观点2、Resampling方法下由于input不准确会产生估计误差,是正确的。

观点1和观点2在下图中criticisms的(2)、(3)点。

Resampling是通过Monte Carlo Simulation扩大的数据规模,然后画出来了很多条有效前沿(simulated frontiers),最后在很多条有效前沿里取均值。但因为重复抽样、重复统计的次数太多了,为了充分分散化甚至重复画了很多次有效前沿,但导致的结果反而没有经济学意义。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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