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139****0989 · 2024年05月26日

这题不理解，请解释说明

  1. ESG
  2. ESG integrated portfolio construction and management

NO.PZ2024021802000045

问题如下：

When applying ESG analysis to the mean-variance optimization model, ESG issues could:

选项：

A.require a change to baseline factor risk assumptions.

B.potentially impact inflation and alter liability assumptions.

C.impact assumptions regarding expected return, volatility, and correlations.

解释：

A. Incorrect because, in the factor risk allocation model, ESG issues could require a change to baseline factor risk assumptions. It offers the potential to build in new ESG-related risk factors (such as climate change) to improve diversification (particularly across market risk factors).

B. Incorrect because liability driven investment (LDI) seeks to find the most efficient asset class mix driven by a fund’s liabilities. Some ESG issues could potentially impact on inflation and alter liability assumptions.

C. Correct because, in the mean -variance optimization model, ESG issues could impact on assumptions regarding expected return, volatility and correlation at the asset and sub-asset class level.

这题不理解，请解释说明

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净净_品职助教 · 2024年05月27日

嗨，爱思考的PZer你好：


题目：当将ESG分析应用于均值-方差优化模型时，ESG问题可能会影响哪些方面？

A. require a change to baseline factor risk assumptions.

  • 错误，因为在因子风险分配模型中，ESG问题可能需要改变基线因子风险假设。这涉及引入新的与ESG相关的风险因子（如气候变化）来改善多样化，特别是跨市场风险因子。这与均值-方差优化模型（MVO）无关，因此这个选项不正确。

B. potentially impact inflation and alter liability assumptions.

  • 错误，因为负债驱动型投资（LDI）主要目标是通过匹配资产和负债的现金流来管理利率和通货膨胀风险。虽然一些ESG问题可能会影响通货膨胀并改变负债假设，但这与均值-方差优化模型无关，因此这个选项也不正确。

C. impact assumptions regarding expected return, volatility, and correlations.

  • 正确，在均值-方差优化模型（MVO）中，ESG问题可能会影响资产和子资产类别层面的预期收益、波动性和相关性假设。这是因为ESG因素可以直接影响公司的财务表现和风险状况，从而改变这些基本假设。


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