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Celestine · 2023年04月26日

请问老师为什么A选项不对?

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NO.PZ202206210100000205

问题如下:

In describing heuristics and other modeling techniques, Montgomery is most accurate with respect to:

选项:

A.Comment 1. B.Comment 2. C.Comment 3.

解释:

Solution

C is correct. The 1/N rule asset allocation heuristic involves equally weighting allocations to assets; 1/N of wealth is allocated to each of N assets available for investment at each rebalancing date. All assets are treated as indistinguishable in terms of mean returns, volatility, and correlations.

A is incorrect. It is not an optimization model. The 60/40 stock/bond heuristic allocates 60% of assets to equities, supplying a long-term growth foundation, and 40% to fixed income, supplying risk reduction benefits.

B is incorrect. The Norway model passively invests in publicly traded securities subject to environmental, social, and governance concerns. In comparison, the endowment model asset allocation emphasizes active management of large allocations to non-traditional investments, seeking to earn illiquidity premiums.

请问老师为什么A选项不对?

1 个答案
已采纳答案

lynn_品职助教 · 2023年04月26日

嗨,从没放弃的小努力你好:


请问老师为什么A选项不对?


60/40 stock/bond 的方法优点是简单,缺点是不管投资者年龄、风险偏好、投资目标,统统按 60/40 来投资,所以不是最优的资产配置方法。因此不选 A。

 

顺便把B、C也放上来讲。


Norway model 被动地投资于公开发行证券,同时考虑环境、社会和治理问题。相比之下,endowment model 强调对非传统的资产类别进行积极投资管理,以赚取非流动性溢价。因此不选 B。


1/N 规则就是对资产进行平均加权分配;在每个再平衡日,将资产平均分配给 N 项可供投资的资产类别。并不考虑所有资产类别在平均收益率、波动性和相关性方面的区别。因此选 C。

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