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wysiwyg · 2023年06月28日

什么是baseline assumption？

  1. ESG
  2. ESG integrated portfolio construction and management

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.”

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1 个答案

王岑 · 2023年06月28日

嗨，从没放弃的小努力你好：


在MVO和LDI方法中，baseline assumptions的意思是基准假设，指为投资组合优化建模过程中设定的一组基本假设或前提条件。比如说，在MVO方法中的基准假设包括：

1）基于市场有效假设，即市场上的资产价格反映了所有可用信息

2）假设资产收益率遵循正态分布

3）不存在无风险套利机会，等等

MVO和LDI模型对这些假设都非常敏感。如果这些假设即使发生稍许改变，那么估值结果会大相径庭。

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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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