NO.PZ202206210100000405
问题如下：
When addressing the University Planning and Priorities Committee, Black’s preferred approach for dealing with the additional allocation issues is most likely:选项：
A.correct. B.incorrect because it is unable to address rebalancing costs. C.incorrect because it is unable to address distributions that are dependent on parameters other than expected return and volatility.解释：
SolutionA is correct. Black’s preferred approach for dealing with the additional asset allocation issues is the use of Monte Carlo simulation. Monte Carlo simulation can accommodate many future possible scenarios, such as portfolio rebalancing costs and non-normal distributions (i.e., distributions that require more than expected return and volatility as parameters).
B is incorrect. Monte Carlo simulation can accommodate many future possible scenarios, such as portfolio rebalancing costs and non-normal distributions (i.e., distributions that require more than expected return and volatility as a parameter).
C is incorrect. Monte Carlo simulation can accommodate many future possible scenarios, such as portfolio rebalancing costs and non-normal distributions (i.e. distributions that require more than expected return and volatility as a parameter).
MCS可以解决rebalancing costs的问题么？请问这个在讲义中哪里有体现。
