答案又错了？

问题如下：

Remington and Montgomerynext meet with client Katherine Winfeld. The firm had established Winfeld’scurrent asset allocation on the basis of reverse optimization using theinvestable global market portfolio weights with further adjustments to reflectWinfeld’s views on expected returns.

The model on whichWinfeld’s current asset allocation is based is best characterized as: (2019 moc

选项：

A.

mean–variance optimization.

B.

Black–Litterman.

C.

reverse optimization.

解释：

B is correct. Winfeld’s current asset allocation is most likely based on the Black–Litterman model. Black–Litterman starts with the excess returns produced from reverse optimization, which commonly uses the observed market-capitalization value of the assets or asset classes of the global opportunity set. It then alters the reverse-optimized expected returns that reflect an investor’s own distinctive views yet still behaves well in an optimizer.

A is incorrect. Asset allocations using mean–variance optimization tend to be concentrated in a subset of the available asset classes. Winfeld’s portfolio will be allocated to all or most of the asset classes through the reverse-optimization process followed by adjustments reflecting the investor’s views.

C is incorrect. Reverse optimization takes as its inputs a set of asset allocation weights that are assumed to be optimal and, with covariances and the risk aversion coefficient, solves for expected returns. The starting weights are commonly the observed market capitalization value of the assets or asset classes of the global opportunity set. The asset allocation using reverse optimization would not take into account the investor’s own views.