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S. Wang · 2023年06月29日

CFA - ESG 的问题,第四版模考题

老师能举例介绍下A和B选项不?有点靠不太懂解析。感激!

题目:

Which of the following statements about ESG portfolio optimization is most accurate?

A

ESG portfolio optimization via constraints applies a fixed decision on specific securities

B

Portfolios that optimize for a combination of ESG absolute data and subjective rankings minimize active risk to achieve both targets

C

正确Optimizations with a targeted ESG exposure that requires tighter constraints may result in an increase in deviation from an optimal portfolio


解析:

A is incorrect because "ESG optimisation via constraints distinguishes itself from exclusionary screening in that it does not apply a fixed decision on specific securities. Rather, it is organising the securities by their individual ESG profile to solve a specific ESG optimisation at the overall portfolio level not on specific securities".

B is incorrect because "not surprisingly, portfolios that optimize for multiple factors – particularly a combination of absolute data and subjective rankings – may have to accept higher not lower active risk to achieve both targets."

1 个答案

净净_品职助教 · 2023年06月30日

嗨,从没放弃的小努力你好:


A选项,最优化不是针对特定证券应用一个固定的方法,负面筛选是这样的,例如针对特定的烟草股票,全部剔除。最优化是在组合层面,一般设定的ESG限制例如碳排放要低于一定水平,任何高于这个水平的证券不会被投资,也就是说最优化排除的证券不是特定的某一个行业,任何行业的任何一个企业都有可能。

B选项错在不是最小化active risk

这道题可以听一下经典题讲解,具体视频位置在第八章的考点五第一个视频,如下:

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努力的时光都是限量版,加油!

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