开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

15363567771 · 2023年02月04日

這題答案好牽強

* 问题详情,请 查看题干

NO.PZ202206260100000103

问题如下:

In his comments on portfolio optimization, Gill is least likely correct regarding the:

选项:

A. normality of asset class returns.

B. accuracy of risk estimates for alternative investments.

C. common way portfolio optimization can incorporate alternative investments.

解释:

Solution

A is correct. Despite its limitation, the assumption of normality is assumed for both traditional and alternative asset classes. The returns to traditional assets classes are not normally distributed; however, mean–variance techniques assuming normality have persisted because no standard approach for working with non-normally distributed returns exists. Many alternative asset classes exhibit more substantial skewness and kurtosis than traditional assets, partly because of high leverage, sensitivity to liquidity events, and asymmetric performance fees, making the assumption of normality more problematic, but these concerns also exist for some traditional assets (e.g., speculative grade bonds, microcap equities).

B is incorrect. Returns to alternative investments are often based on appraisal data rather than market transactions, which results in artificial smoothing and underestimation of the standard deviation of returns. Infrequent reporting also makes accurate measurement of standard deviation difficult because of limited observations.

C is incorrect. It is common for portfolio optimization that includes alternative assets to be performed in two stages—the first following a traditional mean–variance analysis and the second using Monte Carlo simulation or other more advanced techniques to account for the non-normality of returns of alternatives.

老師這題可以解釋一下嗎
2 个答案

伯恩_品职助教 · 2023年02月06日

嗨,爱思考的PZer你好:


确实有点鸡蛋里挑骨头的感觉


----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

伯恩_品职助教 · 2023年02月06日

嗨,爱思考的PZer你好:


传统上来说确实绝大部分的传统资产都是正态分布的。但是确实有一部分传统资产是非正态分布的,比如投机级债券、微型股。所以A的表述错误。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 2

    回答
  • 0

    关注
  • 739

    浏览
相关问题

NO.PZ202206260100000103 问题如下 In his comments on portfolio optimization, Gill is least likely correregarng the: A.normality of asset class returns. B.accuraof risk estimates for alternative investments. C.common wportfolio optimization cincorporate alternative investments. SolutionA is correct. spite its limitation, the assumption of normality is assumefor both trationanalternative asset classes. The returns to trationassets classes are not normally stribute however, mean–variantechniques assuming normality have persistebecause no stanrapproafor working with non-normally stributereturns exists. Many alternative asset classes exhibit more substantiskewness ankurtosis thtrationassets, partly because of high leverage, sensitivity to liquity events, anasymmetric performanfees, making the assumption of normality more problematibut these concerns also exist for some trationassets (e.g., speculative gra bon, microcequities).B is incorrect. Returns to alternative investments are often baseon appraista rather thmarket transactions, whiresults in artificismoothing anunrestimation of the stanrviation of returns. Infrequent reporting also makes accurate measurement of stanrviation fficult because of limiteobservations.C is incorrect. It is common for portfolio optimization thinclus alternative assets to performein two stages—the first following a trationmean–variananalysis anthe seconusing Monte Carlo simulation or other more aancetechniques to account for the non-normality of returns of alternatives. 请问老师,The returns to trationassets classes are not normally stribute

2023-02-04 16:39 1 · 回答