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.”
老师能讲下MVO BLM以及LDI但这之间的区别吗?记得当时讲课老师说这块可以跳过但出题完全搞不清楚啥意思!