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小J会通过 · 2023年12月18日

Risker asset allocations are over-diversified 这句话怎么理解

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NO.PZ202206210100000204

问题如下:

In Remington and Montgomery’s discussion with Winfield on resampling, Montgomery’s comment is most likely:

选项:

A.correct. B.incorrect regarding estimation errors. C.incorrect regarding diversification of asset allocations.

解释:

Solution

C is correct. Montgomery’s comment about the criticisms of resampling is incorrect regarding diversification of asset allocations. Risker asset allocations are over-diversified, not under-diversified. The comment is correct with regard to estimation errors because the asset allocations do inherit the estimation errors in the original inputs.

A and B are incorrect. Risker asset allocations are over-diversified, not under-diversified. However, the asset allocations do inherit the estimation errors in the original inputs.

如题,over-diversified是指对risker asset 的配置变得更少么

1 个答案

lynn_品职助教 · 2023年12月19日

嗨,从没放弃的小努力你好:


如题,over-diversified是指对risker asset 的配置变得更少么


over-diversified 过度分散化是Resampling的缺点之一。是下图中第二项,不是对风险资产的配置更少了


Resampling是一种统计上的方法,通过Monte Carlo Simulation扩大的数据规模,然后画出来了很多条有效前沿(simulated frontiers),最后在很多条有效前沿里取均值。


但因为重复抽样、重复统计的次数太多了,为了充分分散化甚至重复画了很多次有效前沿,但导致的结果反而没有经济学意义。


我们不能判断是否对risker asset 的配置变得更少或更多。


某些有效前沿虽然统计学上成立,却不具有经济学的意义,会形成下图Criticisms中提到的(1)concave “bumps”。



因为正常情况下,有效前沿是向上倾斜的一条曲线,虽然表现为concave,但是风险增加,收益是增加的。


而concave bump 指的是风险增加,收益反而减小了,体现在图中就是曲线弯过头了,下图中蓝色部分。长的跟肿块一样,所以比较形象地称为 bumps problem 。


归根结底就是因为重复抽样、重复统计的次数太多了,为了充分分散化甚至重复画了很多次有效前沿,虽然从理论上是对的,但假如结果没有经济学意义,就不能采用了。


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