NO.PZ2019122802000026
问题如下：
What of the following is the drawback of risk-based approach to asset classification?
选项：
A.It overestimates the portfolio diversification.
It is sensitive to historical look-back period.
It has united risk factor identification.
解释：
B is correct.
The major drawback of risk factor based approach is that it depends on the histocial data and the sepecific data period.
risk-factor approach主要基于回归分析，所以就对使用的历史数据很敏感，不同时期（look-back period.）的数据最后回归出来的系数不一样，会影响到结果。考点截图如下：
A risk-based approach通常可以很好地解释公开交易资产的整体风险，R² 值为 0.8-1.0。他们在考虑另类资产的整体风险方面做得不太好，R² 值为 0.3-0.7。这种无法解释的风险水平是由于使用评估进行估值（对历史数据敏感）、对经理选择的更依赖以及其他特殊风险
