NO.PZ2022062601000009
问题如下：
High net worth investor Zhou and his investment advisor Jesse discussed shifting parts of his portfolio into alternative investments, Jesse said to Zhou, We have used traditional mean-variance approach to optimize your current portfolio allocation, but this is not appropriate to a portfolios that includes substantial allocations to alternative investments. The returns of traditional asset classes are normally distributed, while the returns of alternative investments often exhibit non-normality. For alternative investments, due to the calculation and reporting methods of returns, even the most basic estimate of risk, the standard deviation of returns, is likely to be measured incorrectly. When it comes to alternative assets, a common approach to portfolio optimization is a two-step process, first using mean-variance analysis for traditional asset classes and then incorporates alternative assets using more sophisticated techniques, such as Monte Carlo simulation.”
In his comments on portfolio optimization, Jesse is the least likely to be correct in the following areas:
选项：
A.
normality of asset class returns.
B.
accuracy of risk estimates for alternative investments.
C.
common way portfolio optimization can incorporate alternative investments.
解释：
A is correct. Despite its limitations, the normality assumption is assumed for both traditional asset classes and alternative asset classes. The returns of traditional asset classes are not normally distributed; However, mean–variance techniques assuming normality have persisted because no standard approach for working with non-normally distributed returns exists. Many alternative asset classes exhibit greater skewness and kurtosis than traditional assets, partly due to high leverage, sensitivity to liquidity events, and asymmetric performance fees, making the assumption of normality even more problematic. However, these concerns also exist in some traditional assets such as speculative grade bonds and micro stocks.
B is not correct. The return on alternative investments is usually based on appraisal data rather than market transactions, which can lead to artificially smoothing and underestimating the standard deviation of returns. Due to limited observation results, infrequent reporting also makes accurate measurement of standard deviation difficult.
C is incorrect. Portfolio optimization involving alternative assets is usually performed in two stages - the first stage follows traditional mean-variance analysis, and the second stage uses Monte Carlo simulation or other more advanced techniques to account for the non-normality of returns on alternative assets.
知识点考察：Asset Allocation Approaches
A是正确的。尽管存在局限性，但对传统资产类别和另类资产类别都假定了正态性假设。传统资产类别的收益不是正态分布的；然而，由于不存在处理非正态分布收益的标准方法，假设正态的均值-方差技术一直存在。许多另类资产类别比传统资产表现出更大的偏斜和峰度，部分原因是高杠杆、对流动性事件的敏感性和不对称的绩效费用，这使得正常性的假设更成问题，但这些担忧也存在于一些传统资产（如投机级债券、微型股）。
B不正确。另类投资的回报通常基于评估数据，而不是市场交易，这会导致人为的平滑和低估回报的标准差。由于观测结果有限，不频繁的报告也使准确测量标准偏差变得困难。
C不正确。包括另类资产的投资组合优化通常分两个阶段进行——第一个阶段遵循传统的均值-方差分析，第二个阶段使用蒙特卡罗模拟或其他更先进的技术来解释另类资产回报的非正态性。
c选项说2个stage，stage的意思是分两步走还是说有两个不同的水平？ 两步走的话为啥要先mvo？直接用高级的方法不就可以了吗？两个不同水平的话，第一个stage本身就不适用不是吗
