NO.PZ2022120703000081
问题如下:
Which of the following strategic asset allocation model(s) is highly sensitive to baseline assumptions?
选项:
A.Mean-variance optimization (MVO) only
B.Liability driven asset allocation (LDI) only
C.Both mean-variance optimization (MVO) and liability driven asset allocation (LDI)
解释:
C is correct because both Mean-variance optimisation (MVO) and Liability driven asset allocation (LDI) are highly sensitive to baseline assumptions. In particular, “MVO is highly sensitive to baseline assumptions…” and “LDI encounters the same limitations as MVO, with high sensitivity to baseline assumptions.”
A is incorrect because both Mean-variance optimisation (MVO) and Liability driven asset allocation (LDI) are highly sensitive to baseline assumptions. In particular, “MVO is highly sensitive to baseline assumptions…” and “LDI encounters the same limitations as MVO, with high sensitivity to baseline assumptions.”
B is incorrect because both Mean-variance optimisation (MVO) and Liability driven asset allocation (LDI) are highly sensitive to baseline assumptions. In particular, “MVO is highly sensitive to baseline assumptions…” and “LDI encounters the same limitations as MVO, with high sensitivity to baseline assumptions.”
可以再解释一下这两个模型