有关的我都列出来了，有的说法和老师不一样，
1.请老师帮我检查一遍看我考试直接写行不行
2.相关优缺点，有没有可能考主观题的地方我有漏下的部分，也就这个5个辨析点了吧
MVO cons:
1. High expected return estimate error, Output(Efficient frontier)Highly sensitive to expected return estimate, -----Reverse optimization , BL, Resampling
2. Single period -----monte carlo simulation
3. Only used for normal distribution, do not capture skewness and kurtosis ----non-normal MVO
4. Lower diversification ---add constrains
5. Risk factor overlapping ---risk factor based asset allocation/ risk budget
6. Do not consider liability ----ALM
Illiquidity problem: cannot eliminate specific risk, cannot direct invest in Index or there is no index
Reserve optimization:
Pros: 1. Using optimal weight as input and estimate return as output, lower estimation error
1. reflect market systematic risk, expected return can calculate by CAPM
cons : only reflect market view, do not reflect manager’s own view
BL:
Pros: 1. More stable efficient frontier, 2. More diversify Asset Allocation. 3. reflect managers own view
Resampling
Pros: 1. More stable efficient frontier, reduce the frequency of rebalancing, reduce cost
2. More diversify Asset Allocation. Lower risk exposure, more suitable for risk averse investor
Cons: 1.may have”bump”(concave)Efficient frontier, 2, lack on function in theory
2. overdiversification
3. input have higher estimation error
Monte Carlo:
Pros: 1. Can solve multi-period problem--tax
2. can solve path dependence problem—cash inflow outflow
3. when investor do not know their risk tolerance, can draw a picture
4.generate more data
5. can solve non-normal problem
Non-normal MVO:
Pros: 1. Consider skewness and kurtosis, 2.investor attitude to risk in non-normal