NO.PZ2019122802000036
问题如下：
Which of the following statement about Monte Carlo Simulation in alternative asset allocation is not correct?
选项：
A.Monte Carlo Simulation relaxes the assumption of normally distributed return.
Monte Carlo Simulation combines the high and low volatility normal distributions to lead a skewed and fat-tailed distribution for alternative investments.
Monte Carlo Simulation is the most robust asset allocation approach.
解释：
C is correct.
Risk-factor based optimization is the most robust asset allocation approach.
蒙特卡洛模拟来做另类的资产配置的时候，核心的目标是去模拟一个skewed and fat-tailed 收益与风险的分布；具体方法是这三步：
确定low-volatility 以及 high-volatility两种情况下的风险因子，确定好之后，用蒙特卡洛模拟建议不同情况下的收益模型，然后再把这个不同情况下的收益模型叠加起来，就能构建一个skewed and fat-tailed模型，这样就符合另类投资的收益风险特征了。
这是讲义当中写的具体步骤哈：
•Estimate the behavior of factors and/or assets in low-volatility regimes and high-volatility regimes
•then generating scenarios using the different means and covariances estimated under the different regimes.
•This mixture of high-and low-volatility normal distributions would lead to an altogether skewed and fat-tailed distribution of asset class return or risk factor changes.
为什么risk-factor based optimization most robust?
